TY  - UNPD
A1  - Gropp, Reint
A1  - Moerman, Gerard
T1  - Measurement of contagion in banks' equity prices
T2  - European Central Bank: Working paper series ; No. 297
N2  - 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.
T3  - European Central Bank: Working paper series - 297 
KW  - Europäische Union
KW  - Schock <Wirtschaft>
KW  - Monte-Carlo-Simulation
KW  - Banking
KW  - Contagion
KW  - Monte Carlo simulations
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/33326
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-333263
UR  - http://ssrn.com/abstract=926280
SN  - 1561-0810
SN  - 1725-2806
N1  - © 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.
PB  - Europ. Central Bank
CY  - Frankfurt am Main
ER  -