September 2022: New Bank Underground Post – Measuring capital at risk in the UK banking sector
By Giovanni Covi, James Brookes and Charumathi Raja How banks are exposed to the financial system and real-economy determines concentration risk and interconnectedness in the banking sector, and in turn, the severity of tail-events. We construct the Global Network data set, a comprehensive exposure-based data set of the UK banking sector, updated quarterly, covering roughly[…]