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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/10419/57782
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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.date.accessioned | | 2012-05-03 | | en_US |
| dc.date.accessioned | | 2012-05-09T10:00:17Z | | - |
| dc.date.available | | 2012-05-09T10:00:17Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.isbn | | 978-3-86558-785-5 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/57782 | | - |
| dc.description.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. | | 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 2011,17 | | 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 | | time dimension | | en_US |
| dc.title | | Contagion in the interbank market and its determinants | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 715108808 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
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