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Assessing the Risk of Multiple Defaults in the Banking System

  • Ip-Wing Yu
  • Laurence Kang-Por Fung
  • Chi-Sang Tam
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

Banks face different kinds of risks when conducting their business, such as interest rate risk, operational risk, payments and settlement risk, and credit risk. Among these risks, the assessment of credit risk of the banking system has long been one of the focuses of central banks from a financial stability perspective. For instance, since late 2004, both the Bank of England (BOE) and the European Central Bank (ECB) have published their estimated indicators based on the Merton-type model as part of the measures of banking system vulnerability in their regular Financial Stability Review (BOE 2004; ECB 2004).1 The International Monetary Fund (IMF) also reports similar indicators in its Global Financial Stability Report (IMF 2004, 2005).

Keywords

International Monetary Fund Banking System Credit Risk Systemic Risk Banking Sector 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Ip-Wing Yu, Laurence Kang-Por Fung and Chi-Sang Tam 2008

Authors and Affiliations

  • Ip-Wing Yu
  • Laurence Kang-Por Fung
  • Chi-Sang Tam

There are no affiliations available

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