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Insolvency and Contagion in the Brazilian Interbank Market

Author Info

  • Sergio R. S. Souza
  • Benjamin M. Tabak
  • Solange M. Guerra

Abstract

This 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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File URL: http://www.bcb.gov.br/pec/wps/ingl/wps320.pdf
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Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 320.

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Date of creation: Aug 2013
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Handle: RePEc:bcb:wpaper:320
Contact details of provider: Web page: http://www.bcb.gov.br/?english

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Cited by:

  1. Silva, Thiago Christiano & de Souza, Sergio Rubens Stancato & Tabak, Benjamin Miranda, 2016. "Network structure analysis of the Brazilian interbank market," Emerging Markets Review, Elsevier, vol. 26(C), pages 130-152.
  2. Thiago Christiano Silva & Sergio Rubens Stancato de Souza & Benjamin Miranda Tabak, 2015. "Monitoring Vulnerability and Impact Diffusion in Financial Networks," Working Papers Series 392, Central Bank of Brazil, Research Department.

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