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dc.contributor.authorMemmel, Christophen_US
dc.contributor.authorSachs, Angelikaen_US
dc.contributor.authorStein, Ingriden_US
dc.date.accessioned2011-04-19en_US
dc.date.accessioned2011-04-26T10:59:36Z-
dc.date.available2011-04-26T10:59:36Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-86558-703-9en_US
dc.identifier.urihttp://hdl.handle.net/10419/45176-
dc.description.abstractThis 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.isoengen_US
dc.publisherDeutsche Bundesbank Frankfurt am Mainen_US
dc.relation.ispartofseriesDiscussion Paper Series 2: Banking and Financial Studies 2011,06en_US
dc.subject.jelD53en_US
dc.subject.jelE47en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordinterbank marketen_US
dc.subject.keywordcontagionen_US
dc.subject.keywordstochastic LGDen_US
dc.titleContagion at the interbank market with stochastic LGDen_US
dc.typeWorking Paperen_US
dc.identifier.ppn656649283en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdp2:201106-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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