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Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >
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http://hdl.handle.net/10419/45176
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| Title: | | Contagion at the interbank market with stochastic LGD  |
| Authors: | | Memmel, Christoph Sachs, Angelika Stein, Ingrid |
| Issue Date: | | 2011 |
| Series/Report no.: | | Discussion Paper Series 2: Banking and Financial Studies 2011,06 |
| 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. |
| Subjects: | | interbank market contagion stochastic LGD |
| JEL: | | D53 E47 G21 |
| ISBN: | | 978-3-86558-703-9 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
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