Arbeitspapier
Contagion in the interbank market and its determinants
Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for each point in time can be condensed into one indicator, the expected number of failures, without much loss of information. (iii) Important determinants of this indicator are the banks' capital, their interbank lending in the system, the loss given default and how equal banks spread their claims among other banks.
- ISBN
-
978-3-86558-785-5
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 2 ; No. 2011,17
- Klassifikation
-
Wirtschaft
General Equilibrium and Disequilibrium: Financial Markets
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
Interbank market
contagion
time dimension
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Memmel, Christoph
Sachs, Angelika
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2011
- 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.
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Objekttyp
- Arbeitspapier
Beteiligte
- Memmel, Christoph
- Sachs, Angelika
- Deutsche Bundesbank
Entstanden
- 2011
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