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Estimating Spillover Risk Among Large EU Banks, Li Ong, Martin Cihak

Creator
Contributor
Abstract
The 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
Table Of Contents
Contents; I. Introduction; II. Methodology and Data; A. Theoretical Underpinnings; B. Data; Tables; 1. Major EU Exchange-Listed Banks; 2. Stock Market Indices and Government Bond Yields; C. Empirical Model; Figures; 1. EU Banks: Changes in Distance-to-Default; 3. EU Banks: Distribution of Changes in Distances-to-Default; 2. EU Banks: Binomial Logit Exceedances in the 10th Percentile Left Tail; III. Results; 3. Significant Co-Exceedances among Large EU Banks, May 2000-April 2007; IV. Conclusions; Appendices; I. Spillover Risk Among Large EU Banks-Detailed Mapping; Appendix Tables
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (28 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462326556

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