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.

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.

• Item Type: MPRA Paper
• Language: English
• 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

References

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