Logo
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.

[thumbnail of MPRA_paper_525.pdf]
Preview
PDF
MPRA_paper_525.pdf

Download (201kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.