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- W88866534 abstract "Australia’s insulated geographical location and its Four Pillar Policy have long sheltered its prosperous banking sector from external financial downturns. However, the 2007-2008 credit crisis uncovered its vulnerability to the most severe financial events. In this chapter we use Extreme Value Theory to examine the stability of the Australian banking system. We estimate the downside risks of the largest banks by calculating univariate extreme loss probabilities, which equal the inverse of the Value at Risk stress levels. The contagion risk within the banking sector is assessed by calculating multivariate co-crash probabilities. We find that spillover risk has increased markedly during the crisis." @default.
- W88866534 created "2016-06-24" @default.
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- W88866534 date "2009-08-04" @default.
- W88866534 modified "2023-09-26" @default.
- W88866534 title "The Stability of the Australian Banking System" @default.
- W88866534 hasPublicationYear "2009" @default.
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