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 default risk for more than 1,800 banks in more than 60 countries. They find that there has been a significant increase in default risk co-dependence over the...
انظر المزيد
تفاصيل
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2011/10/01
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ورقة عمل خاصة ببحوث السياسات
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WPS5849
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1
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1
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2011/10/01
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Disclosed
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Has the global banking system become more fragile over time ?
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default risk