Series: IMF Working Papers
Author(s): International Monetary Fund
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 February 2012
Keywords: Wholesale Funding, Macroprudential Regulation, recapitalization, financial system, contagion, Multiple or Simultaneous Equation Models: General, Financial Institutions and Services: General, General Financial Markets,
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determi...