... c to the range [cmin, cmax] ensures thatall probabilities are non-negative and not greater than one. The covariance, σab, and thevariances, σ2 a and σ2b, of bank returns can be shown ... encouragement and advice, toLuigi Zingales for suggesting that the channel of information spillovers be examined as a source of systemic risk, to Amil Dasgupta, John Moore, and seminar participants ... partially mitigated and this gives rise to a pro-cyclical pattern in the correlation of bank loan returns. The direction of information contagion, the localized nature of contagion and herding, and...