Arbeitspapier
Contagion risk in the Danish Interbank market
This paper uses records of payments in the Danish large value payment system to compute a unique, high-frequency data set on bilateral exposures between banks. The risk of contagion in the Danish interbank market is subsequently analysed using this data set. It is found that the risk of financial contagion due to an unexpected failure of a major bank is very limited. This applies even when banks are assumed to loose all their exposure, i.e. a loss given default of 100 per cent. Where contagion is identified, it affects only smaller banks and no further knock-on effects are found.
- Sprache
-
Englisch
- Erschienen in
-
Series: Danmarks Nationalbank Working Papers ; No. 29
- Klassifikation
-
Wirtschaft
- Thema
-
Geldmarkt
Bankenkrise
Schätzung
Dänemark
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Amundsen, Elin
Arnt, Henrik
- Ereignis
-
Veröffentlichung
- (wer)
-
Danmarks Nationalbank
- (wo)
-
Copenhagen
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Amundsen, Elin
- Arnt, Henrik
- Danmarks Nationalbank
Entstanden
- 2005
Ähnliche Objekte (12)
A network analysis of contagion risk in the interbank market
A network analysis of contagion risk in the interbank market
Financial interlinkages and risk of contagion in the Finnish interbank market
Systemic risk in the Danish interbank netting system
Cross-Border Interbank Networks, Banking Risk and Contagion
Contagion in the interbank market and its determinants
Contagion at the interbank market with stochastic LGD
Contagion in the interbank market and its determinants
Contagion risk in the interbank market : A probabilistic approach to cope with incomplete structural information
Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information
Contagion risk in the interbank market: A probabilistic approach to cope with incomplete structural information
The credit quality channel: Modeling contagion in the interbank market
A network analysis of contagion risk in the interbank market
A network analysis of contagion risk in the interbank market
Financial interlinkages and risk of contagion in the Finnish interbank market
Systemic risk in the Danish interbank netting system
Cross-Border Interbank Networks, Banking Risk and Contagion
Contagion in the interbank market and its determinants
Contagion at the interbank market with stochastic LGD
Contagion in the interbank market and its determinants
Contagion risk in the interbank market : A probabilistic approach to cope with incomplete structural information
Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information
Contagion risk in the interbank market: A probabilistic approach to cope with incomplete structural information
The credit quality channel: Modeling contagion in the interbank market
A network analysis of contagion risk in the interbank market
A network analysis of contagion risk in the interbank market
Financial interlinkages and risk of contagion in the Finnish interbank market
Systemic risk in the Danish interbank netting system
Cross-Border Interbank Networks, Banking Risk and Contagion
Contagion in the interbank market and its determinants
Contagion at the interbank market with stochastic LGD
Contagion in the interbank market and its determinants
Contagion risk in the interbank market : A probabilistic approach to cope with incomplete structural information
Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information
Contagion risk in the interbank market: A probabilistic approach to cope with incomplete structural information