Please use this identifier to cite or link to this item:
Amundsen, Elin
Arnt, Henrik
Year of Publication: 
Series/Report no.: 
Danmarks Nationalbank Working Papers 29
This paper uses records of payments in the Danish large value payment system to compute a unique, high-frequency data set on bilateral exposures between banks. The risk of contagion in the Danish interbank market is subsequently analysed using this data set. It is found that the risk of financial contagion due to an unexpected failure of a major bank is very limited. This applies even when banks are assumed to loose all their exposure, i.e. a loss given default of 100 per cent. Where contagion is identified, it affects only smaller banks and no further knock-on effects are found.
Document Type: 
Working Paper

Files in This Item:
285.91 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.