Contagion risk in the international banking system

In the IMF Working Paper "Contagion risk in the international banking system and implications for London as a global financial center" the authors use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system.

They test for the likelihood that an extreme shock affecting a major, systemic U.K. bank would also affect another large local or foreign counterpart, and vice-versa. Their results reveal several key trends among major global banks: contagion

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