Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152731
Authors: 
Gropp, Reint E.
Moerman, Gerard
Year of Publication: 
2003
Series/Report no.: 
ECB Working Paper 297
Abstract: 
This paper uses the co-incidence of extreme shocks to banks’ risk to examine within country and across country contagion among large EU banks. Banks’ risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper examines whether the observed frequency of large shocks experienced by two or more banks simultaneously is consistent with the assumption of a multivariate normal or a student t distribution. Further, the paper proposes a simple metric, which is used to identify contagion from one bank to another and identify “systemically important” banks in the EU.
Subjects: 
banking
Contagion
Monte Carlo Simulations
JEL: 
G21
F36
G15
Document Type: 
Working Paper
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