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

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  • Veysov, Alexander

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.

Suggested Citation

  • Veysov, Alexander, 2012. "Financial Contagion and Systemic Risk: From Theory to Applicable Macroeconomic Model," MPRA Paper 40612, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:40612
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    Cited by:

    1. Dr. Islem BOUTABBA, 2019. "An Empirical Validation of Financial Contagion by A Multivariate VAR Model," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 18(2), pages 221-244, September.

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    More about this item

    Keywords

    financial contagion; systemic risk; banking system; modeling;
    All these keywords.

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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