Financial Linkages Across Korean Banks

Burcu Aydin, Myeongsuk Kim and Ho-Seong Moon

No 2011/201, IMF Working Papers from International Monetary Fund

Abstract: This paper assesses the interconnectedness across Korean banks using three alternative methodologies. Two methodologies utilize high frequency financial data while the third uses bank balance sheet data to assess banks' bilateral exposures, systemically vulnerable banks, and systemically risky banks. The analysis concludes that while Korean banks are interconnected, both the financial risk and contagion risk from such interconnectedness have declined significantly in the aftermath of the global financial crisis.

Keywords: WP; banking system; Korean bank; bank liability; bank default; Financial Stability; network approach; covariance analysis; portfolio risk; defaulting bank; bank assets; default probability; capitalization data; Commercial banks; Credit default swap; Credit; Asset valuation; Global financial crisis of 2008-2009; Global (search for similar items in EconPapers)
Pages: 31
Date: 2011-08-01
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Citations: View citations in EconPapers (4)

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