Hałaj, Grzegorz (2006): Contagion effect in banking system - measures based on randomised loss scenarios.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Contagion effect in banking system - measures based on randomised loss scenarios|
|Keywords:||Contagion; banking system; interbank|
|Subjects:||C - Mathematical and Quantitative Methods > C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C62 - Existence and Stability Conditions of Equilibrium
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
|Depositing User:||Grzegorz Halaj|
|Date Deposited:||20. Oct 2006|
|Last Modified:||12. Feb 2013 22:34|
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