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Contagion Risk in the International Banking System and Implications for London As a Global Financial Center, Jorge Chan-Lau, Srobona Mitra, Li Ong

Abstract
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: contagion risk among banks exhibits "home bias"; individual banks are affected differently by idiosyncratic shocks to their major counterparts; and banks are affected differently by common shocks to the real economy or financial markets. In general, bank soundness appears more susceptible to common (macro and market) shocks when the global environment is turbulent; this may have important implications for London as a major financial services and capital markets hub
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Market Share of Major Financial Centers; II. Bank Linkages Between the United Kingdom and Other Major Banking Centers; 1. United Kingdom: Growth in the Interbank Money Market; III. Empirical Method; A. Model; 2. Distribution of Changes in Distance-to-Default, 18-Bank Sample; B. Data; C. Granger-Causality; 2. United Kingdom: Pairwise Granger-Causality Between the World's Largest Banking Groups (18-Bank Sample); IV. Default Risk and Contagion Results; A. Analysis; 3. Distance-to-Default: HSBC Holdings PLC
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (76 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462362899

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