Choudhury, Tonmoy; Daly, Kevin - In: Studies in Economics and Finance 38 (2021) 4, pp. 836-860
Purpose: This study aims to examine the systemic risk contagion in banks from 15 US states using extreme shocks in their distance to risk. Design/methodology/approach: The authors contemplate a model that inputs co-exceedances in the base US states’ banking sector as the dependent variable...