@techreport{Memmel2011Contagion,
abstract = {This paper investigates contagion at the German interbank market under the assumption of a stochastic loss given default (LGD). We combine a unique data set about the LGD of interbank loans with data about interbank exposures. We find that the frequency distribution of the LGD is u-shaped. Under the assumption of a stochastic LGD, simulation results show a more fragile banking system than under the assumption of a constant LGD. There are three types of banks concerning their tendency to trigger contagion: banks with strongly varying impact, banks whose impact is relatively constant, and banks with no direct impact.},
address = {Frankfurt am Main},
author = {Christoph Memmel and Angelika Sachs and Ingrid Stein},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
isbn = {978-3-86558-703-9},
keywords = {D53; E47; G21; 330; interbank market; contagion; stochastic LGD},
language = {eng},
number = {2011,06},
publisher = {Deutsche Bundesbank},
title = {Contagion at the interbank market with stochastic LGD},
type = {Discussion Paper Series 2: Banking and Financial Studies},
url = {http://hdl.handle.net/10419/45176},
year = {2011}
}
