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Author/Editor:
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Aydin, Burcu ; Kim, Myeong-Suk ; Moon, Ho-Seong
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Publication Date:
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August 01, 2011
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Electronic Access:
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Free Full text
(PDF file size is 1,568KB).
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
This paper assesses the interconnectedness across Korean banks using three alternative methodologies. Two methodologies utilize high frequency financial data while the third uses bank balance sheet data to assess banks’ bilateral exposures, systemically vulnerable banks, and systemically risky banks. The analysis concludes that while Korean banks are interconnected, both the financial risk and contagion risk from such interconnectedness have declined significantly in the aftermath of the global financial crisis.
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Order a print copy
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Series:
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Working Paper No. 11/201
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Subject(s):
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Banks | Credit risk | Economic models | Financial risk | Korea, Republic of
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Author's Keyword(s):
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Financial Stability | network approach | covariance analysis | portfolio risk |
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English
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Publication Date:
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August 01, 2011
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Format:
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Paper
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Stock No:
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WPIEA2011201
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Pages:
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31
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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