Financial Linkages across Korean Banks

 
Author/Editor: Aydin, Burcu ; Kim, Myeong-Suk ; Moon, Ho-Seong
 
Publication Date: August 01, 2011
 
Electronic Access: Free Full text (PDF file size is 1,568KB).
Use the free Adobe Acrobat Reader to view this PDF file

 
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
 
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.
 
Series: Working Paper No. 11/201
Subject(s): Banks | Credit risk | Economic models | Financial risk | Korea, Republic of

Author's Keyword(s): Financial Stability | network approach | covariance analysis | portfolio risk
 
English
Publication Date: August 01, 2011
Format: Paper
Stock No: WPIEA2011201 Pages: 31
Price:
US$18.00 (Academic Rate:
US$18.00 )
 
 
Please address any questions about this title to publications@imf.org