Contagion effect in banking system - measures based on randomised loss scenarios
AbstractMeasures of risk of domino effect (contagion) transmitted through interbank market are discussed and results on implementation of measurement procedure in banking sector are presented. It is shown how a very limited set of available data – interbank exposures and information from balance sheets and profit a loss accounts – can help in generating randomised scenarios of possible losses related to market and credit risk.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 525.
Date of creation: Oct 2006
Date of revision:
Contagion; banking system; interbank;
Find related papers by JEL classification:
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
- NEP-ACC-2006-12-04 (Accounting & Auditing)
- NEP-ALL-2006-12-04 (All new papers)
- NEP-BAN-2006-12-04 (Banking)
- NEP-BEC-2006-12-04 (Business Economics)
- NEP-RMG-2006-12-04 (Risk Management)
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