Has the Global Banking System Become More Fragile over Time?

This paper examines time-series and cross-country variations in default risk co-dependence in the global banking system. The authors construct a default risk measure for all publicly traded banks using the Merton contingent claim model, and examine the evolution of the correlation structure of defau...

Ausführliche Beschreibung

Bibliographische Detailangaben

1. Verfasser:	Anginer, Deniz (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C The World Bank 2011
Online-Zugang:	kostenfrei
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!