Interbank Exposures: Quantifying the Risk of Contagion

Craig H Furfine

Journal of Money, Credit and Banking, 2003, vol. 35, issue 1, 111-28

Abstract: This paper examines the degree to which the failure of one bank would cause the subsequent collapse of other banks. Using unique data on interbank payment flows, the magnitude of bilateral federal funds exposures is quantified. These exposures are used to simulate the impact of various failure scenarios, and the risk of contagion is found to be economically small.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:35:y:2003:i:1:p:111-28

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