OFRwp0009_GlassermanYoung_HowLikelyContagionFinancialNetworks

OFRwp0009_GlassermanYoung_

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Unformatted text preview: 81 5.21 5.24 4.79 4.43 3.93 3.23 2.81 2.64 2.13 2.10 2.43 2.08 1.81 1.56 1.39 1.57 1.31 1.11 1.27 1.41 1.38 1.21 0.99 0.91 1.05 1.03 0.88 0.84 0.92 0.82 0.76 0.73 0.56 0.52 0.57 0.57 0.55 0.56 0.59 0.58 0.56 0.50 0.47 0.43 From Barclays LR 1.88 1.85 1.55 1.56 1.62 1.41 1.44 1.38 1.29 1.58 1.54 1.16 1.13 1.19 1.14 1.08 1.05 1.03 1.04 1.03 1.01 1.03 1.04 1.03 1.02 1.00 0.99 1.01 1.01 0.99 0.99 0.99 0.98 0.98 0.98 0.95 0.96 0.95 0.94 0.96 0.96 0.95 0.94 0.95 0.96 0.95 0.94 WR 27.23 24.62 20.67 18.55 18.65 17.05 15.77 13.98 11.49 10.01 9.41 7.58 7.46 8.65 7.39 6.46 5.55 4.96 5.59 4.67 3.94 4.50 5.01 4.89 4.31 3.52 3.24 3.73 3.66 3.15 3.00 3.27 2.91 2.69 2.61 1.99 1.85 2.04 2.02 1.96 2.00 2.10 2.07 2.00 1.78 1.66 1.52 LR * * * * * * * * * * 5.19 2.96 5.82 3.72 1.85 1.57 1.34 1.49 1.54 1.42 1.63 1.63 1.40 1.30 1.22 1.25 1.44 1.47 1.27 1.19 1.26 1.24 1.18 1.15 1.13 1.10 1.14 1.19 1.12 1.12 1.18 1.21 1.15 1.07 1.07 1.07 From Credit Agricole WR 13.66 12.26 12.32 11.27 10.42 9.24 7.59 6.61 6.22 5.01 4.93 5.72 4.88 4.27 3.67 3.28 3.69 3.08 2.61 2.98 3.31 3.23 2.85 2.33 2.14 2.46 2.42 2.08 1.98 2.16 1.92 1.78 1.73 1.32 1.22 1.35 1.33 1.30 1.32 1.39 1.37 1.32 1.17 1.10 1.01 LR 15.32 23.52 * 4.57 5.90 4.39 2.94 * * 1.97 1.68 2.05 1.80 1.38 1.27 1.17 1.24 1.25 1.20 1.28 1.29 1.20 1.15 1.11 1.11 1.20 1.21 1.12 1.09 1.12 1.10 1.08 1.06 1.04 1.03 1.05 1.06 1.04 1.04 1.06 1.07 1.05 1.02 1.01 1.00 Table 1: Results based on 2011 EBA stress test data. We consider contagion from each of the five largest banks across the top to pairs of banks in consecutive rows. A weak ratio (WR) value greater than 1 indicates that contagion is weak. Each LR value is a likelihood ratio for default through independent shocks to default through contagion, assuming a uniform fractional shock. 34 c_i AT001 AT002 AT003 BE004 BE005 CY006 CY007 DE017 DE018 DE019 DE020 DE021 DE022 DE023 DE024 DE025 DE027 DE028 DK008 DK011 DK009 DK010 ES059 ES060 ES061 ES062 ES064 ES065 ES066 ES067 ES083 ES071 ES068 ES063 ES069 ES070 ES075 ES072 ES073 ES074 ES076 ES077 ES078 FR013 FR014 FR016 FR015 GB089 GB090 GB091 GB088 GR031 GR030 GR032 GR033 GR034 IE038 IE037 IE039 IT041 IT040 IT042 IT043 IT044 NL047 NL048 NL049 NL050 PT053 PT054 PT055 PT056 SE084 SE085 SE086 SE087 Assets Bank Number and Name Erste Bank Group (EBG) 205,938 Raiffeisen Bank International (RBI) 131,173 Oesterreichische Volksbank AG 44,745 DEXIA 548,135 KBC BANK 276,723 MARFIN POPULAR BANK PUBLIC CO LTD 42,580 BANK OF CYPRUS PUBLIC CO LTD 41,996 DEUTSCHE BANK AG 1,905,630 COMMERZBANK AG 771,201 Landesbank Baden‐Württemberg 374,413 DZ BANK AG Dt. Zentral‐Genossenschaf 323,578 Bayerische Landesbank 316,354 Norddeutsche Landesbank ‐GZ 228,586 Hypo Real Estate Holding AG, München 328,119 191,523 WestLB AG, Düsseldorf HSH Nordbank AG, Hamburg 150,930 Landesbank Berlin AG 133,861 DekaBank Deutsche Girozentrale, Frank 130,304 DANSKE BANK 402,555 Nykredit 175,888 Jyske Bank 32,752 Sydbank 20,238 BANCO SANTANDER S.A. 1,223,267 BANCO BILBAO VIZCAYA ARGENTARIA S 540,936 BFA‐BANKIA 327,930 CAJA DE AHORROS Y PENSIONES DE BA 275,856 BANCO POPULAR ESPAÑOL, S.A. 129,183 BANCO DE SABADELL, S.A. 96,703 CAIXA D'ESTALVIS DE CATALUNYA, TAR 76,014 CAIXA DE AFORROS DE GALICIA, VIGO, 73,319 CAJA DE AHORROS DEL MEDITERRANEO 72,034 GRUPO BANCA CIVICA 71,055 GRUPO BMN 69,760 EFFIBANK 54,523 BANKINTER, S.A. 53,476 CAJA ESPAÑA DE INVERSIONES, SALAM 45,656 GRUPO BBK 44,628 CAJA DE AHORROS Y M.P. DE ZARAGOZ 42,716 MONTE DE PIEDAD Y CAJA DE AHORRO 34,263 BANCO PASTOR, S.A. 31,135 CAIXA D'ESTALVIS UNIO DE CAIXES DE M 28,310 CAJA DE AHORROS Y M.P. DE GIPUZKOA 20,786 GRUPO CAJA3 20,144 BNP PARIBAS 1,998,157 CREDIT AGRICOLE 1,503,621 SOCIETE GENERALE 1,051,323 BPCE 1,000,695 HSBC HOLDINGS plc 1,783,199 BARCLAYS plc 1,725,709 LLOYDS BANKING GROUP plc 1,006,082 ROYAL BANK OF SCOTLAND GROUP plc 607,351 NATIONAL BANK OF GREECE 118,832 EFG EUROBANK ERGASIAS S.A. 85,885 ALPHA BANK 66,798 PIRAEUS BANK GROUP 57,680 AGRICULTURAL BANK OF GREECE S.A. ( 31,221 BANK OF IRELAND 156,712 ALLIED IRISH BANKS PLC 131,311 IRISH LIFE AND PERMANENT 46,743 UNICREDIT S.p.A 929,488 INTESA SANPAOLO S.p.A 576,962 BANCA MONTE DEI PASCHI DI SIENA S.p 244,279 BANCO POPOLARE ‐ S.C. 140,043 UNIONE DI BANCHE ITALIANE SCPA (UB 130,559 ING BANK NV 933,073 RABOBANK NEDERLAND 607,483 ABN AMRO BANK NV 379,599 SNS BANK NV 78,918 CAIXA GERAL DE DEPÓSITOS, SA 119,318 BANCO COMERCIAL PORTUGUÊS, SA (B 100,010 ESPÍRITO SANTO FINANCIAL GROUP, SA 85,644 Banco BPI, SA 43,826 Nordea Bank AB (publ) 542,853 Skandinaviska Enskilda Banken AB (pub 212,240 Svenska Handelsbanken AB (publ) 240,202 Swedbank AB (publ) 191,365 EAD 25,044 30,361 10,788 228,211 23,871 7,907 7,294 194,399 138,190 133,906 135,860 97,336 91,217 29,084 58,128 9,532 49,253 41,255 75,894 8,597 4,674 3,670 51,407 110,474 39,517 5,510 14...
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This document was uploaded on 02/20/2014 for the course ECON 101 at Pontificia Universidad Católica de Chile.

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