Contagion effect in banking system - measures based on randomised loss scenarios
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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Journal of Banking & Finance,
Elsevier, vol. 54(C), pages 20-29.
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