Munich Personal RePEc Archive

Financial Contagion and Systemic Risk: From Theory to Applicable Macroeconomic Model

Veysov, Alexander (2012): Financial Contagion and Systemic Risk: From Theory to Applicable Macroeconomic Model.

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Abstract

This draft working paper is to summarize theoretical contributions in the field of measuring systemic risk and contagion of financial systems. Broad theoretical framework is analyzed and empiric approach to a macroeconomic model of global banking system systemic risk and contagion is offered. The model is to use BIS locational statistics as well as national consolidated balance sheets of banking systems to provide some insight into the vulnerability of modern banking system. As to theoretical contributions, three branches of literature are analyzed: correlation-based measures, network-based measures and various systemic risk measures.

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