Security

Contagion Risk In The Australian Banking And Property Sectors

Free registration required

Executive Summary

The Australian banking system has emerged from the global crisis as one of the strongest in the world with consistent high profits, healthy capital ratios and AA credit ratings. Are there any risks or vulnerabilities in this success story? This paper looks at systemic banking risk or contagion risk in Australia and attempts to determine if this risk has increased with the recent global crisis as well as whether the risk is related to the downturn experienced in the real estate market. The authors employ Extreme Value Theory to measure univariate Value at Risk and Expected Shortfall, as well as multivariate intra-sector and inter-sector contagion risks.

  • Format: PDF
  • Size: 225.7 KB