Interbank exposures: quantifying the risk of contagion
AbstractThis paper examines the likelihood that failure of one bank would cause the subsequent collapse of a large number of other banks. Using unique data on interbank payment flows, the magnitude of bilateral federal funds exposures is quantified. These exposures are used to simulate the impact of various failure scenarios, and the risk of contagion is found to be economically small.
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Bibliographic InfoPaper provided by Bank for International Settlements in its series BIS Working Papers with number 70.
Length: 26 pages
Date of creation: Jun 1999
Date of revision:
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- Dora L. Costa & Matthew E. Kahn, 2008. "Learning from the Past," NBER Chapters, in: Heroes and Cowards: The Social Face of War National Bureau of Economic Research, Inc.
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