Financial Linkages Across Korean Banks
August 1, 2011
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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.
Subject: Asset and liability management, Asset valuation, Banking, Capital adequacy requirements, Commercial banks, Credit, Credit default swap, Financial crises, Financial institutions, Global financial crisis of 2008-2009, Money
Keywords: Asset valuation, bank assets, bank default, bank liability, banking system, capitalization data, Commercial banks, covariance analysis, Credit, Credit default swap, default probability, defaulting bank, Financial Stability, Global, Global financial crisis of 2008-2009, Korean bank, network approach, portfolio risk, WP
Pages:
31
Volume:
2011
DOI:
Issue:
201
Series:
Working Paper No. 2011/201
Stock No:
WPIEA2011201
ISBN:
9781462303229
ISSN:
1018-5941
