Understanding Financial Market Linkages and Bank Systemic Risk
To study the source of bank systemic risk and the way in which contagion is proliferated throughout the financial system. By examining the nature of market linkages and the co-movements of the markets, the research will examine the common underlying driving force or the systemic risk and the subsequent contagion in the economy.
The research will use banks from developed economies and emerging market economies due to the differences in structure and development of the financial markets and regulations.
Overall, this research will provide an integrated examination of the manner in which different segments of the financial markets in developed and emerging countries co-move and the sources of bank systemic risk during crisis and non-crisis periods. The existing literature is primarily focused on the nature of financial asset linkages and bank systemic risk in developed markets (US and Europe) with each market is studied individually. Few studies on this have been conducted in an integrated manner in both developed and emerging economies.
If this area of research is on interest to you, you may consider undertaking an Honours project on this topic. Contact Dean Wilkie to have a discussion.
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