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dc.contributor.authorBosma, Jakoben_US
dc.contributor.authorKoetter, Michaelen_US
dc.contributor.authorWedow, Michaelen_US
dc.date.accessioned2012-07-25en_US
dc.date.accessioned2012-08-01T13:01:39Z-
dc.date.available2012-08-01T13:01:39Z-
dc.date.issued2012en_US
dc.identifier.isbn978-3-86558-826-5en_US
dc.identifier.urihttp://hdl.handle.net/10419/60237-
dc.description.abstractWe identify the connections between financial institutions from different sectors of the financial industry based on joint extreme movements in credit default swap (CDS) spreads. First, we estimate pairwise co-crash probabilities (CCP) to identify significant connections among 193 international financial institutions and explain CCPs with shared country and/or sectoral origin indicators. Second, we use network centrality measures to identify systemically important financial institutions. Third, we test if bailouts stabilized network neighbors and thus this financial system. Financial firms from the same sector and country are most likely significantly connected. Inter-sector and intra-sector connectivity across countries also increase the likelihood of significant links. Central network indicators based on significant CCPs identify many institutions that failed during the 2007/2008 crisis. Excess equity returns in response to bank bailouts are overall negative and significantly lower for connected banks.en_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper, Deutsche Bundesbank 16/2012en_US
dc.subject.jelC14en_US
dc.subject.jelG14en_US
dc.subject.jelG21en_US
dc.subject.jelH12en_US
dc.subject.ddc330en_US
dc.subject.keywordExtreme Value Theoryen_US
dc.subject.keywordCDS Spreadsen_US
dc.subject.keywordSystemic Institutionsen_US
dc.subject.keywordNetwork Stabilityen_US
dc.subject.stwCredit Default Swapen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwFinanzsektoren_US
dc.subject.stwUnternehmensnetzwerken_US
dc.subject.stwSystemrisikoen_US
dc.subject.stwBankenkriseen_US
dc.subject.stwSchulden├╝bernahmeen_US
dc.subject.stwWelten_US
dc.titleCredit risk connectivity in the financial industry and stabilization effects of government bailoutsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn720099420en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdps:162012-
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