Interbank exposures: quantifying the risk of contagion
This 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.
|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.
- Hugh Cohen & William Roberds, 1993. "Towards the systematic measurement of systemic risk," FRB Atlanta Working Paper 93-14, Federal Reserve Bank of Atlanta.
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