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Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >

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http://hdl.handle.net/10419/57782
  

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dc.contributor.authorMemmel, Christophen_US
dc.contributor.authorSachs, Angelikaen_US
dc.date.accessioned2012-05-03en_US
dc.date.accessioned2012-05-09T10:00:17Z-
dc.date.available2012-05-09T10:00:17Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-86558-785-5en_US
dc.identifier.urihttp://hdl.handle.net/10419/57782-
dc.description.abstractCarrying 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.en_US
dc.language.isoengen_US
dc.publisherDeutsche Bundesbank Frankfurt am Mainen_US
dc.relation.ispartofseriesDiscussion Paper Series 2: Banking and Financial Studies 2011,17en_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.keywordtime dimensionen_US
dc.titleContagion in the interbank market and its determinantsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn715108808en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdp2:201117-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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