Measurement of contagion in banks' equity prices
- This paper uses the co-incidence of extreme shocks to banks’ risk to examine within country and across country contagion among large EU banks. Banks’ risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper examines whether the observed frequency of large shocks experienced by two or more banks simultaneously is consistent with the assumption of a multivariate normal or a student t distribution. Further, the paper proposes a simple metric, which is used to identify contagion from one bank to another and identify “systemically important” banks in the EU.
| Author: | Reint GroppGND, Gerard Moerman |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-333263 |
| URL: | http://ssrn.com/abstract=926280 |
| ISSN: | 1561-0810 |
| ISSN: | 1725-2806 |
| Parent Title (German): | European Central Bank: Working paper series ; No. 297 |
| Series (Serial Number): | European Central Bank: Working paper series (297) |
| Publisher: | Europ. Central Bank |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2003 |
| Year of first Publication: | 2003 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2014/03/20 |
| Tag: | Banking; Contagion; Monte Carlo simulations |
| GND Keyword: | Europäische Union; Schock <Wirtschaft>; Monte-Carlo-Simulation |
| Page Number: | 58 S. |
| Note: | © European Central Bank, 2003. All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. The views expressed in this paper do not necessarily reflect those of the European Central Bank. |
| HeBIS-PPN: | 347254276 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
