Financial Linkages Across Korean Banks
IMF Working Papers, August 1, 2011
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Bibliographic details
- Authors: Burcu Aydin, Myeongsuk Kim, Ho-Seong Moon
- Published: August 1, 2011
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781462303229.001
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.
Methodologies and Analytical Approach
- Three alternative methodologies:
- Two methodologies based on high frequency financial data.
- One methodology based on bank balance sheet data to assess bilateral exposures.
- Analytical focus:
- Identification of systemically vulnerable banks.
- Identification of systemically risky banks.
- Assessment of bilateral exposures and contagion potential.
Key Findings
- Korean banks are interconnected.
- Both the financial risk and contagion risk arising from such interconnectedness have declined significantly in the aftermath of the global financial crisis.
Subjects and Keywords
- 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
IMF Working Paper — Financial Linkages Across Korean Banks (August 1, 2011) by Burcu Aydin, Myeongsuk Kim, Ho-Seong Moon.