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An Inquiry into Banking Portfolios and Financial Stability Surrounding "The Great Recession" (Garita G.)

Bank Systems Contagion in Banking Financial Crises Risk-taking and Risk Management Structure of Assets&Liabilities

Abstract By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) between banks, this paper characterizes a risk-stability index (RSI) that quantifies (i) common distress of banks, (ii) distress between specific banks, and (iii) distress to a portfolio related to a specific bank. The results show that financial stability is a continuum; that the Korean and U.S. banking systems seem more prone to systemic risk; and that Asian banks experience the most persistence of distress. Furthermore, a panel VAR indicates that “leaning against the wind” reduces the instability of a financial system.
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Libref/ Garita G. (2010) "An Inquiry into Banking Portfolios and Financial Stability Surrounding "The Great Recession"", pp. 1 - 42
© Программирование — Александр Красильников, 2008
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