In this paper, we describe the results for the section "Stress Testing Methodology for Kazakh Banking System" which is part of the "Development of an Early Warning System for Kazakhstan" project. The participating Kazakh institutions are the National Bank of Kazakhstan (NBRK), the Financial...

We examine contagion from a number of financial systems to the German financial system using the information content of CDS prices in a GARCH model. After controlling for common factors which may cause comovement in security prices, we find evidence for contagion from the US and European...