Hartmann, Philipp; Straetmans, Stefan T.M.; de Vries, … - National Bureau of Economic Research (NBER) - 2005
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...