Insolvency and Contagion in the Brazilian Interbank Market
AbstractThis paper analyzes the financial institutions (FIs) that operate in the Brazilian Interbank Market, investigating, through simulations, the potential contagion that they present, the contagion losses' and the contagion route associated to FIs' bankruptcies, and the value of the 1-year expected loss of the financial system. The paper also computes the possibility of contagion of other markets triggered by FIs' defaults in the interbank market. Besides, it identifies contagion transmitter FIs and losses amplifier FIs in the market studied. The analyses performed found no particularly important source of stress in the Brazilian financial system, in the period.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 320.
Date of creation: Aug 2013
Date of revision:
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Web page: http://www.bcb.gov.br/?english
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-16 (All new papers)
- NEP-BAN-2013-08-16 (Banking)
- NEP-FMK-2013-08-16 (Financial Markets)
- NEP-LAM-2013-08-16 (Central & South America)
- NEP-SPO-2013-08-16 (Sports & Economics)
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