Systemic Risk, Contagion and Financial Networks

Lorenzo Cappiello, Mattia Montagna and Linda Rousová

Financial Stability Review, 2015, vol. 2

Abstract: This special feature proposes a methodology to measure systemic risk as the percentage of banks defaulting simultaneously over a given time horizon for a given confidence level. The framework presented here is applied to euro area banks. It is observed that since the announcement of the comprehensive assessment in October 2013 banks have significantly reshuffled their security portfolios. This has resulted in a decline in the probability of systemic events occurring. JEL Classification: G00

Keywords: contagion; financial networks; systemic risk (search for similar items in EconPapers)
Date: 2015-11
Note: 234084
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:fsrart:2015:0002:3

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