CoMap: Mapping Contagion in the Euro Area Banking Sector

Mehmet Gorpe, Giovanni Covi and Christoffer Kok

No 2019/102, IMF Working Papers from International Monetary Fund

Abstract: This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.

Keywords: WP; central bank; capital base; banking system; discount rate; Systemic Risk; Network Analysis; Interconnectedness; Large Exposures; Stress Test; Macroprudential Policy; balance sheet; EA bank; liquidity surplus; funding risk; bank default; default threshold; RWAs vis-à-vis credit institution; Vulnerability index; Liquidity; Asset liquidity; Commercial banks; Credit risk; Global (search for similar items in EconPapers)
Pages: 63
Date: 2019-05-10
New Economics Papers: this item is included in nep-ban and nep-net
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Citations: View citations in EconPapers (9)

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Related works:
Journal Article: CoMap: Mapping Contagion in the Euro Area Banking Sector (2021)
Working Paper: CoMap: mapping contagion in the euro area banking sector (2019)
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