Banking system stability: a cross-Atlantic perspective
"This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks' equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks' exposure to each other ("contagion r...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11698 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | "This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks' equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks' exposure to each other ("contagion risk") and to systematic risk. Moreover, by applying structural break tests to those measures we study whether capital markets indicate changes in the importance of systemic risk over time. Using data for the United States and the euro area, we can also compare banking system stability between the two largest economies in the world. Finally, for Europe we assess the relative importance of cross-border bank spillovers as compared to domestic bank spillovers. The results suggest, inter alia, that systemic risk in the US is higher than in the euro area, mainly as cross-border risks are still relatively mild in Europe. On both sides of the Atlantic systemic risk has increased during the 1990s"--National Bureau of Economic Research web site. |
| Item Description: | Literaturverz. S. 39 - 43 |
| Physical Description: | 86 S. graph. Darst. |
Staff View
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| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:29Z |
| indexdate | 2025-01-02T11:24:28Z |
| institution | BVB |
| language | English |
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| spelling | Hartmann, Philipp 1969- Verfasser (DE-588)12054461X aut Banking system stability a cross-Atlantic perspective Philipp Hartmann ; Stefan Straetmans ; Casper de Vries Cambridge, Mass. National Bureau of Economic Research 2005 86 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11698 Literaturverz. S. 39 - 43 "This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks' equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks' exposure to each other ("contagion risk") and to systematic risk. Moreover, by applying structural break tests to those measures we study whether capital markets indicate changes in the importance of systemic risk over time. Using data for the United States and the euro area, we can also compare banking system stability between the two largest economies in the world. Finally, for Europe we assess the relative importance of cross-border bank spillovers as compared to domestic bank spillovers. The results suggest, inter alia, that systemic risk in the US is higher than in the euro area, mainly as cross-border risks are still relatively mild in Europe. On both sides of the Atlantic systemic risk has increased during the 1990s"--National Bureau of Economic Research web site. Europäische Union (DE-588)5098525-5 gnd rswk-swf Geschichte 1992-2004 gnd rswk-swf Bank Banks and banking Europe Banks and banking United States Risk assessment Bank (DE-588)4004436-1 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Europa USA USA (DE-588)4078704-7 gnd rswk-swf Europäische Union (DE-588)5098525-5 b Bank (DE-588)4004436-1 s Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s USA (DE-588)4078704-7 g Geschichte 1992-2004 z DE-604 Straetmans, Stefan Verfasser (DE-588)171603109 aut Vries, Casper G. de 1955- Verfasser (DE-588)115392653 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11698 (DE-604)BV002801238 11698 http://papers.nber.org/papers/w11698.pdf kostenfrei Volltext |
| spellingShingle | Hartmann, Philipp 1969- Straetmans, Stefan Vries, Casper G. de 1955- Banking system stability a cross-Atlantic perspective National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Europäische Union (DE-588)5098525-5 gnd Bank Banks and banking Europe Banks and banking United States Risk assessment Bank (DE-588)4004436-1 gnd Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)5098525-5 (DE-588)4004436-1 (DE-588)4114309-7 (DE-588)4121590-4 (DE-588)4078704-7 |
| title | Banking system stability a cross-Atlantic perspective |
| title_auth | Banking system stability a cross-Atlantic perspective |
| title_exact_search | Banking system stability a cross-Atlantic perspective |
| title_exact_search_txtP | Banking system stability a cross-Atlantic perspective |
| title_full | Banking system stability a cross-Atlantic perspective Philipp Hartmann ; Stefan Straetmans ; Casper de Vries |
| title_fullStr | Banking system stability a cross-Atlantic perspective Philipp Hartmann ; Stefan Straetmans ; Casper de Vries |
| title_full_unstemmed | Banking system stability a cross-Atlantic perspective Philipp Hartmann ; Stefan Straetmans ; Casper de Vries |
| title_short | Banking system stability |
| title_sort | banking system stability a cross atlantic perspective |
| title_sub | a cross-Atlantic perspective |
| topic | Europäische Union (DE-588)5098525-5 gnd Bank Banks and banking Europe Banks and banking United States Risk assessment Bank (DE-588)4004436-1 gnd Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Europäische Union Bank Banks and banking Europe Banks and banking United States Risk assessment Kreditrisiko Risikomanagement Europa USA |
| url | http://papers.nber.org/papers/w11698.pdf |
| volume_link | (DE-604)BV002801238 |
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