Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60237 
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dc.contributor.authorBosma, Jakoben
dc.contributor.authorKoetter, Michaelen
dc.contributor.authorWedow, Michaelen
dc.date.accessioned2012-07-25-
dc.date.accessioned2012-08-01T13:01:39Z-
dc.date.available2012-08-01T13:01:39Z-
dc.date.issued2012-
dc.identifier.isbn978-3-86558-826-5en
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aBundesbank Discussion Paper |x16/2012en
dc.subject.jelC14en
dc.subject.jelG14en
dc.subject.jelG21en
dc.subject.jelH12en
dc.subject.ddc330en
dc.subject.keywordExtreme Value Theoryen
dc.subject.keywordCDS Spreadsen
dc.subject.keywordSystemic Institutionsen
dc.subject.keywordNetwork Stabilityen
dc.subject.stwCredit Default Swapen
dc.subject.stwKreditrisikoen
dc.subject.stwFinanzsektoren
dc.subject.stwUnternehmensnetzwerken
dc.subject.stwSystemrisikoen
dc.subject.stwBankenkriseen
dc.subject.stwSchuldenübernahmeen
dc.subject.stwWelten
dc.titleCredit risk connectivity in the financial industry and stabilization effects of government bailouts-
dc.typeWorking Paperen
dc.identifier.ppn720099420en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdps:162012en

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