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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/45176
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Memmel, Christoph | | en_US |
| dc.contributor.author | | Sachs, Angelika | | en_US |
| dc.contributor.author | | Stein, Ingrid | | en_US |
| dc.date.accessioned | | 2011-04-19 | | en_US |
| dc.date.accessioned | | 2011-04-26T10:59:36Z | | - |
| dc.date.available | | 2011-04-26T10:59:36Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.isbn | | 978-3-86558-703-9 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/45176 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Deutsche Bundesbank Frankfurt am Main | | en_US |
| dc.relation.ispartofseries | | Discussion Paper Series 2: Banking and Financial Studies 2011,06 | | en_US |
| dc.subject.jel | | D53 | | en_US |
| dc.subject.jel | | E47 | | en_US |
| dc.subject.jel | | G21 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | interbank market | | en_US |
| dc.subject.keyword | | contagion | | en_US |
| dc.subject.keyword | | stochastic LGD | | en_US |
| dc.title | | Contagion at the interbank market with stochastic LGD | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 656649283 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:bubdp2:201106 | | - |
| Appears in Collections: | | Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
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