Contagion in the interbank market and its determinants

Arbeitspapier

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.

Object Details

• ISBN: 978-3-86558-785-5
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper Series 2 ; No. 2011,17

Classification and Topics

• Classification: Wirtschaft ; General Equilibrium and Disequilibrium: Financial Markets ; Money and Interest Rates: Forecasting and Simulation: Models and Applications ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: Interbank market ; contagion ; time dimension

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Memmel, Christoph ; Sachs, Angelika
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/57782
• Last update: 10.03.2025, 11:42 AM CET