Transcription of Risk Assessment for Banking Systems
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Risk Assessment for Banking Systems Helmut Elsinger University of ViennaDepartment of Business StudiesAlfred Lehar University of ViennaDepartment of Business StudiesMartin Summer Oesterreichische NationalbankEconomic Studies Division We have to thank Ralf Dobringer, Bettina Kunz, Franz Partsch and Gerhard Fiam for their helpand support with the collection of data. We thank Michael Boss, Elena Carletti, Michael Crouhy, PhilDavis, Klaus D ullmann, Craig Furfine, Hans Gersbach, Charles Goodhart, Martin, Hellwig, EduardHochreiter, Patricia Jackson, George Kaufman, Elizabeth Klee, Markus Knell, David Llewellyn, TomMayer, Matt Pritsker, Gabriela de Raaij, Olwen Renowden, Isabel Schnabel, Hyun Song Shin, JohannesTurner, Christian Upper, Birgit Wlaschitz, and Andreas Worms for helpful comments.
Risk Assessment for Banking Systems ... for the risk analysis of an entire banking system. 1Greenspan (1997) notes on the FED’s agenda: ... Contagion is a low probability-high impact event. Previous simulation studies looking at inter-bank exposures such as Humphery (1986),
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