NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Casper de Vries

Erasmus University Rotterdam
Department of Economics, Accounting & Finance H8-3
P.O. Box 1738
3000 DR Rotterdam NETHERLANDS
Tel: 31-10-4088956

E-Mail: cdevries@few.eur.nl

NBER Working Papers and Publications

January 2007Banking System Stability. A Cross-Atlantic Perspective
with Philipp Hartmann, Stefan Straetmans
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
October 2005Banking System Stability: A Cross-Atlantic Perspective
with Philipp Hartmann, Stefan Straetmans: w11698
This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks%u2019 equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks%u2019 exposure to each other (%u201Ccontagion risk%u201D) and to systematic risk. Moreover, by applying structural break tests to those measures we study whether capital markets indicate changes in the importance of systemic risk over time. Using data for the United States and the euro area, we can also compare banking system stability between the two largest economies in the world. Finally, for Europe we assess the relative importance of cross-border bank spillovers as compared to domestic bank spillovers. The results suggest, inter alia, that sy...

Published: Banking System Stability. A Cross-Atlantic Perspective, Philipp Hartmann, Stefan Straetmans, Casper de Vries. in The Risks of Financial Institutions, Carey and Stulz. 2006

 
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