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 r...
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| Other Authors: | , |
| Format: | Book |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2007
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| Series: | IMF Working Papers; Working Paper ;
No. 2007/074 IMF eLibrary |
| Subjects: |