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Contagion effect in banking system - measures based on randomised loss scenarios

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Author Info
Hałaj, Grzegorz
Abstract

Measures 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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File URL: http://mpra.ub.uni-muenchen.de/525/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 525.

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Date of creation: Oct 2006
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Handle: RePEc:pra:mprapa:525

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Related research
Keywords: Contagion banking system interbank

Find related papers by JEL classification:
C62 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Existence and Stability Conditions of Equilibrium
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

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References listed on IDEAS
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.:
  1. Lelyveld, Iman van & Liedorp, Franka, 2006. "Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis," MPRA Paper 806, University Library of Munich, Germany. [Downloadable!]
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  2. Martin Summer & Helmut Elsinger & Alfred Lehar, 2002. "Risk Assessment for Banking Systems," Working Papers 79, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  3. Hassan Naqvi, 2004. "Banking Crises and the Lender of Last Resort: How crucial is the role of information?," Finance 0410009, EconWPA. [Downloadable!]
  4. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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