Contagion Risk for Australian Authorised Deposit-Taking Institutions

Autor:	Mohammad Zahidul Hasan, Selim Akhter
Rok vydání:	2015
Předmět:	Economics and Econometrics Percentile Actuarial science Multinomial logistic model business.industry Contagion risk Extreme events Economics Distribution (economics) business Extreme value theory Banking sector
Zdroj:	Economic Record. 91:191-208
ISSN:	0013-0249
DOI:	10.1111/1475-4932.12177
Popis:	This paper investigates the contagion risk for Australian-owned authorised deposit-taking institutions ( ADIs) spilling from the US and UK banks. We hypothesised that Australian ADIs are prone to extreme shocks experienced by their US and UK counterparts. We define four discrete events for the Australian banking sector in terms of the number of banks exceeding an extreme value at some time. The extreme value is defined as the 90th percentile on the negative tail of the distribution of changes in the distance to default obtained through the Black-Scholes-Merton formula. Then we fit a multinomial logistic model ( MLM) to relate these events to the number of exceedances (extreme events) occurring in the US and the UK in the previous day for the time period from September 2006 to September 2011. The MLM estimates reveal strong contagion effects for Australian ADIs from the US and UK banks.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::f15f3a50cd283d391a159d3034bc01db https://doi.org/10.1111/1475-4932.12177 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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