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Assessing the Risk of Multiple Defaults in the Banking System

In: The Banking Sector in Hong Kong

Author

Listed:
  • Ip-Wing Yu
  • Laurence Kang-Por Fung
  • Chi-Sang Tam

Abstract

Banks face different kinds of risks when conducting their business, such as interest rate risk, operational risk, payments and settlement risk, and credit risk. Among these risks, the assessment of credit risk of the banking system has long been one of the focuses of central banks from a financial stability perspective. For instance, since late 2004, both the Bank of England (BOE) and the European Central Bank (ECB) have published their estimated indicators based on the Merton-type model as part of the measures of banking system vulnerability in their regular Financial Stability Review (BOE 2004; ECB 2004).1 The International Monetary Fund (IMF) also reports similar indicators in its Global Financial Stability Report (IMF 2004, 2005).

Suggested Citation

  • Ip-Wing Yu & Laurence Kang-Por Fung & Chi-Sang Tam, 2008. "Assessing the Risk of Multiple Defaults in the Banking System," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Hans Genberg & Cho-Hoi Hui (ed.), The Banking Sector in Hong Kong, chapter 12, pages 261-275, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-0-230-22737-8_12
    DOI: 10.1057/9780230227378_12
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