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Estimating bilateral exposures in the German interbank market: is there a danger of contagion?

In: Marrying the macro- and micro-prudential dimensions of financial stability

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  • Christian Upper

    (Deutsche Bundesbank)

  • Andreas Worms

    (Deutsche Bundesbank)

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  • Bank for International Settlements, 2001. "Marrying the macro- and micro-prudential dimensions of financial stability," BIS Papers, Bank for International Settlements, Bank for International Settlements, number 01, 8.
    This item is provided by Bank for International Settlements in its series BIS Papers chapters with number 01-09.

    Handle: RePEc:bis:bisbpc:01-09

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Freixas, Xavier & Parigi, Bruno & Rochet, Jean Charles, 1999. "Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2325, C.E.P.R. Discussion Papers.
    2. C. H. Furfine, 1999. "Interbank exposures: quantifying the risk of contagion," BIS Working Papers 70, Bank for International Settlements.
    3. Jean-Charles Rochet & Jean Tirole, 1996. "Interbank lending and systemic risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.), pages 733-765.
    4. James, Christopher, 1991. " The Losses Realized in Bank Failures," Journal of Finance, American Finance Association, American Finance Association, vol. 46(4), pages 1223-42, September.
    5. Angelini, P. & Maresca, G. & Russo, D., 1996. "Systemic risk in the netting system," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(5), pages 853-868, June.
    6. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Win, pages 14-23.
    7. Craig Furfine, 1999. "Interbank exposures: quantifying the risk of contagion," Proceedings, Federal Reserve Bank of Chicago 633, Federal Reserve Bank of Chicago.
    8. George Sheldon & Martin Maurer, 1998. "Interbank Lending and Systemic Risk: An Empirical Analysis for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 134(IV), pages 685-704, December.
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