Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/45176
Authors: 
Memmel, Christoph
Sachs, Angelika
Stein, Ingrid
Year of Publication: 
2011
Series/Report no.: 
Discussion Paper Series 2: Banking and Financial Studies 2011,06
Abstract: 
This 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.
Subjects: 
interbank market
contagion
stochastic LGD
JEL: 
D53
E47
G21
ISBN: 
978-3-86558-703-9
Document Type: 
Working Paper

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