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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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)
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.:
- Hans Degryse & Grégory Nguyen, 2004.
"Interbank exposures: an empirical examination of systemic risk in the Belgian banking system,"
Working Paper Research
43, National Bank of Belgium.
- Degryse, Hans & Nguyen, G, 2004. "Interbank exposures: An empirical examination of systemic risk in the belgian banking system," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/121546, Katholieke Universiteit Leuven.
- Degryse, H.A. & Nguyen, G., 2004. "Interbank Exposures: An Empirical Examination of Systemic Risk in the Belgian Banking System," Discussion Paper 2004-4, Tilburg University, Center for Economic Research.
- de Bandt, Olivier & Hartmann, Philipp, 2000.
"Systemic Risk: A Survey,"
CEPR Discussion Papers
2634, C.E.P.R. Discussion Papers.
- Hassan Naqvi, 2004. "Banking Crises and the Lender of Last Resort: How crucial is the role of information?," Finance 0410009, EconWPA.
- Iman van Lelyveld & Franka Liedorp, 2006.
"Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis,"
International Journal of Central Banking,
International Journal of Central Banking, vol. 2(2), May.
- Lelyveld, Iman van & Liedorp, Franka, 2006. "Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis," MPRA Paper 806, University Library of Munich, Germany.
- Helmut Elsinger & Alfred Lehar & Martin Summer, 2006.
"Risk Assessment for Banking Systems,"
INFORMS, vol. 52(9), pages 1301-1314, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.