摘要：We propose a new method for the analysis of systemic stability of a banking
system relying mostly on market data. We model both asset correlations and
interlinkages from interbank borrowing so that our analysis gauges two major
sources of systemic risk: correlated exposures and mutual credit relations that
may cause domino effects of insolvencies. We apply our method to a data set of
the ten major UK banks and analyze insolvency risk over a one-year horizon. We
also suggest a stress-testing procedure by analyzing the conditional asset
return distribution that results from the hypothetical failure of individual
institutions in this system. Rather than looking at individual bank defaults
ceteris paribus, we take the change in the asset return distribution and the
resulting change in the risk of all other banks into account. This takes
previous stress tests of interlinkages a substantial step further.
