Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center
In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. bank would also affect another large local or foreign counterpart, and vice-versa. Our results reveal several key trends among major READ MORE...

Publication date: April 2007
ISBN 9781451866384
$18.00

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