Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/57782
Authors: 
Memmel, Christoph
Sachs, Angelika
Year of Publication: 
2011
Series/Report no.: 
Discussion Paper Series 2: Banking and Financial Studies 2011,17
Abstract: 
Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for each point in time can be condensed into one indicator, the expected number of failures, without much loss of information. (iii) Important determinants of this indicator are the banks' capital, their interbank lending in the system, the loss given default and how equal banks spread their claims among other banks.
Subjects: 
Interbank market
contagion
time dimension
JEL: 
D53
E47
G21
ISBN: 
978-3-86558-785-5
Document Type: 
Working Paper

Files in This Item:
File
Size
568.45 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.