Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/215894
Authors: 
Jager, Maximilian
Siemsen, Thomas
Vilsmeier, Johannes
Year of Publication: 
2020
Series/Report no.: 
Bundesbank Discussion Paper No. 23/2020
Abstract: 
We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole sector. The framework can be used for the calibration of macro-prudential capital charges, the assessment of systemic risks in the banking sector, and for the calculation of banks' interbank loss distributions in general. Our application to German regulatory data from End-2016 shows that the German interbank network was at that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though up to four contagion defaults could occur due to an exogenous shock, the system-wide 99.9% VaR barely exceeds 1.5% of banks' CET 1 capital. For single institutions, however, we found indications for elevated vulnerabilities and hence the need for a close supervision.
Subjects: 
Interbank contagion
credit risk
systemic risk
loss simulation
JEL: 
G17
G21
G28
ISBN: 
978-3-95729-705-1
Document Type: 
Working Paper

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