Munich Personal RePEc Archive

Contagion effect in banking system - measures based on randomised loss scenarios

Hałaj, Grzegorz (2006): Contagion effect in banking system - measures based on randomised loss scenarios.

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Abstract

Measures of risk of domino effect (contagion) transmitted through interbank market are discussed and results on implementation of measurement procedure in banking sector are presented. It is shown how a very limited set of available data – interbank exposures and information from balance sheets and profit a loss accounts – can help in generating randomised scenarios of possible losses related to market and credit risk.

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