Bartram, Söhnke M., Brown, Gregory W. and Hund, John E. (2007) Estimating systemic risk in the international financial system. Journal of Financial Economics, 86 (3). pp. 835-869. doi:10.1016/j.jfineco.2006.10.001 ISSN 0304-405X.

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Abstract

This paper develops three distinct methods to quantify the risk of a systemic failure in the global banking system. We examine a sample of 334 banks (representing 80% of global bank equity) in 28 countries around five global financial crises. Our results suggest statistically significant, but economically small, increases in systemic risk. Although policy responses are endogenous, the low estimated probabilities suggest that the distress of central bankers, regulators and politicians about the events we study could be overstated and that current policy responses to financial crises could be adequate to handle major macroeconomic events.

Item Type:	Journal Article
Divisions:	Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	Journal of Financial Economics
Publisher:	Elsevier Science BV
ISSN:	0304-405X
Official Date:	December 2007
Dates:	Date Event December 2007 Published 3 July 2007 Available 17 October 2006 Accepted 28 July 2005 Submitted
Volume:	86
Number:	3
Page Range:	pp. 835-869
DOI:	10.1016/j.jfineco.2006.10.001
Status:	Peer Reviewed
Publication Status:	Published
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