Bank failures through contagion

This study attempts to quantify the shocks to a banking network and analyze the transfer of shocks through the network. We consider two sources of shocks: external shocks due to market and macroeconomic factors which impact the entire banking system, and idiosyncratic shocks due to failure of a single bank. The external shocks we considered in this study are due to exchange rate shocks. An ARMA/GARCH model is used to extract i.i.d. residuals for this purpose.

23p trinhthamhodang2 21-01-2020 19 2   Download