Contagion in the interbank market and its determinants
AbstractCarrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for each point in time can be condensed into one indicator, the expected number of failures, without much loss of information. (iii) Important determinants of this indicator are the banks’ capital, their interbank lending in the system, the loss given default and how equal banks spread their claims among other banks.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Stability.
Volume (Year): 9 (2013)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/jfstabil
Interbank market; Contagion; Time dimension;
Other versions of this item:
- Memmel, Christoph & Sachs, Angelika, 2011. "Contagion in the interbank market and its determinants," Discussion Paper Series 2: Banking and Financial Studies 2011,17, Deutsche Bundesbank, Research Centre.
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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