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|
|Contact details of provider:|| Postal: Centralbahnplatz 2, CH - 4002 Basel|
Phone: (41) 61 - 280 80 80
Fax: (41) 61 - 280 91 00
Web page: http://www.bis.org/
More information through EDIRC
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.:
- 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.
When requesting a correction, please mention this item's handle: RePEc:bis:biswps:70. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Beslmeisl)
If references are entirely missing, you can add them using this form.