Identifying contagion risk in the international banking system : an extreme value theory approach
Jorge Antonio Chan-lau, Srobona Mitra and Li Lian Ong
| Year of publication: |
2012
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|---|---|
| Authors: | Chan-Lau, Jorge A. |
| Other Persons: | Mitra, Srobona (contributor) ; Ong, Li Lian (contributor) ; Ong, Li Lian (contributor) |
| Published in: |
International journal of finance & economics : IJFE. - Chichester, Sussex : Wiley, ISSN 1076-9307, ZDB-ID 1324693-8. - Vol. 17.2012, 4, p. 390-406
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| Subject: | Bank soundness | co-exceedance | contagion risk | distance to default | extreme value theory | logit | Ansteckungseffekt | Contagion effect | Ausreißer | Outliers | Bankrisiko | Bank risk | Risikomaß | Risk measure | Risiko | Risk | Bankenkrise | Banking crisis | Finanzkrise | Financial crisis | Theorie | Theory | Risikomanagement | Risk management | Internationale Bank | International bank | Kreditrisiko | Credit risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015179973