Contagion Risk in the International Banking System and Implications for London as a Global Financial Center
本文档由 纺织服装文库 分享于2010-11-03 19:17
In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. bank would also affect another large local or foreign counterpart, and vice-versa. Our results reveal several key trends among major global banks: contag..
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