Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach.
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a lar...
| Autor Corporativo: | |
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| Formato: | Revista |
| Idioma: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2012.
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| Series: | IMF Working Papers; Working Paper ;
No. 2012/046 |
| Acceso en liña: | Full text available on IMF |