Please use this identifier to cite or link to this item:
https://hdl.handle.net/10419/45176
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Memmel, Christoph | en |
dc.contributor.author | Sachs, Angelika | en |
dc.contributor.author | Stein, Ingrid | en |
dc.date.accessioned | 2011-04-19 | - |
dc.date.accessioned | 2011-04-26T10:59:36Z | - |
dc.date.available | 2011-04-26T10:59:36Z | - |
dc.date.issued | 2011 | - |
dc.identifier.isbn | 978-3-86558-703-9 | en |
dc.identifier.uri | http://hdl.handle.net/10419/45176 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aDeutsche Bundesbank |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aDiscussion Paper Series 2 |x2011,06 | en |
dc.subject.jel | D53 | en |
dc.subject.jel | E47 | en |
dc.subject.jel | G21 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | interbank market | en |
dc.subject.keyword | contagion | en |
dc.subject.keyword | stochastic LGD | en |
dc.title | Contagion at the interbank market with stochastic LGD | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 656649283 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bubdp2:201106 | en |
Files in This Item:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.