Estimating Spillover Risk Among Large EU Banks
AbstractThe paper examines the scope for cross-border spillovers among major EU banks using information contained in the stock prices and financial statements of these banks. The results suggest that spillovers within domestic banking systems generally remain more likely, but the number of significant cross-border links is already larger than the number of significant links among domestic banks, adding a piece of empirical evidence supporting the need for strong cross-border supervisory cooperation within the EU.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 07/267.
Date of creation: 01 Nov 2007
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-01-05 (All new papers)
- NEP-BAN-2008-01-05 (Banking)
- NEP-RMG-2008-01-05 (Risk Management)
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- Mark Swinburne & StÃ©phanie Marie Stolz & Marina Moretti, 2008. "Stress Testing At the IMF," IMF Working Papers 08/206, International Monetary Fund.
- Martin CihÃ¡k & Wim Fonteyne, 2009. "Five Years After," IMF Working Papers 09/68, International Monetary Fund.
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