| Description |
1 online resource (32 pages) : illustrations |
| Series |
IMF working paper, 1018-5941 ; WP/11/201 |
|
IMF working paper ; WP/11/201.
|
| Contents |
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Network Approach; A. Data; B. Methodology; 1. Financial Shock Scenarios; C. Results; 1. Credit Shock on Bank Capital; 2. BIS Capital Ratio after a Credit Shock; 3. Credit-Plus-Funding Shock on Bank Capital; 4. BIS Capital Ratio after a Credit-Plus-Funding Shock; D. Summary; III. Co-Risk Approach; A. Data; B. Methodology; C. Results; 2. Conditional Co-risk Estimates, as of end of September 2010; 3. Conditional Co-risk Estimates, as of October 13, 2008; 5. Changes in the Average Conditional Co-risk; D. Summary |
|
IV. Distress Dependence ApproachA. Data; B. Methodology; 6. Distribution of Bank Asset Over Time; 7. Stock Price and Default Probabilities of Korean Banks; C. Results; 4. Distress Dependence Matrix (October 2008 and March 2011); 8. Viewing Banking System Stability as a Portfolio of Banks; 9. Expected Number of Bank Defaults, 2007-11; 10. Joint Probability of Default, 2007-11; D. Summary; V. Conclusion; References; Footnotes |
| Summary |
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 |
| Notes |
At head of title: Asia and Pacific Department |
|
Title from PDF title page (IMF Web site, viewed September 20, 2011) |
|
"August 2011." |
| Bibliography |
Includes bibliographical references |
| Subject |
Banks and banking -- Korea (South) -- Econometric models
|
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Financial risk -- Korea (South) -- Econometric models
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Banks and banking -- Econometric models
|
|
Economic history
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| SUBJECT |
Korea (South) -- Economic conditions.
http://id.loc.gov/authorities/subjects/sh85073057
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| Subject |
Korea (South)
|
| Form |
Electronic book
|
| Author |
Kim, Myeong-Suk, author.
|
|
Moon, Ho-Seong, author.
|
|
International Monetary Fund. Asia and Pacific Department, issuing body.
|
| ISBN |
1283561158 |
|
9781283561150 |
|
9781463901691 |
|
1463901690 |
|
1463901674 |
|
9781463901677 |
|
1462303226 |
|
9781462303229 |
|
