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Banking sector contingent liabilities and sovereign risk

Arslanalp, Serkan; Liao, Yin


The global financial crisis has underscored the need to pay attention to contingent government liabilities that could arise from bank failures for sovereign risk management. This paper proposes a simple method to construct a contingent liability index (CLI) for a banking sector that takes into account the size and concentration of the banking system, market expectations of bank defaults, and perceptions of government support to each bank. This method allows us to track potential government...[Show more]

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
Source: Journal of Empirical Finance
DOI: 10.1016/j.jempfin.2014.08.007


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