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dc.contributor.authorMemmel, Christophen
dc.contributor.authorSachs, Angelikaen
dc.contributor.authorStein, Ingriden
dc.date.accessioned2011-04-19-
dc.date.accessioned2011-04-26T10:59:36Z-
dc.date.available2011-04-26T10:59:36Z-
dc.date.issued2011-
dc.identifier.isbn978-3-86558-703-9en
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2011,06en
dc.subject.jelD53en
dc.subject.jelE47en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordinterbank marketen
dc.subject.keywordcontagionen
dc.subject.keywordstochastic LGDen
dc.titleContagion at the interbank market with stochastic LGD-
dc.typeWorking Paperen
dc.identifier.ppn656649283en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:201106en

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