Financial Contagion and Systemic Risk: From Theory to Applicable Macroeconomic Model
AbstractThis draft working paper is to summarize theoretical contributions in the field of measuring systemic risk and contagion of financial systems. Broad theoretical framework is analyzed and empiric approach to a macroeconomic model of global banking system systemic risk and contagion is offered. The model is to use BIS locational statistics as well as national consolidated balance sheets of banking systems to provide some insight into the vulnerability of modern banking system. As to theoretical contributions, three branches of literature are analyzed: correlation-based measures, network-based measures and various systemic risk measures.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 40612.
Date of creation: 14 Jun 2012
Date of revision:
financial contagion; systemic risk; banking system; modeling;
Find related papers by JEL classification:
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
- NEP-BAN-2012-08-23 (Banking)
- NEP-RMG-2012-08-23 (Risk Management)
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