Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154261 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
ECB Working Paper No. 1828
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
Building on the literature on systemic risk and financial contagion, the paper introduces estimated network linkages into an early-warning model to predict bank distress among European banks. We use multivariate extreme value theory to estimate equity-based tail-dependence networks, whose links proxy for the markets' view of bank interconnectedness in case of elevated financial stress. The paper finds that early warning models including estimated tail dependencies consistently outperform bank-specific benchmark models with- out networks. The results are robust to variation in model specification and also hold in relation to simpler benchmarks of contagion. Generally, this paper gives direct support for measures of interconnectedness in early-warning models, and moves toward a unified representation of cyclical and cross-sectional dimensions of systemic risk.
Schlagwörter: 
bank distress
bank networks
systemic risk
JEL: 
G21
G33
C54
D85
ISBN: 
978-92-899-1641-7
Dokumentart: 
Working Paper

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