Loss distribution of interbank contagion risk

Shouwei Li, Xin Sui and Tao Xu

Applied Economics Letters, 2015, vol. 22, issue 10, 830-834

Abstract: In this article, we propose a method to measure the loss distribution of interbank contagion risk by using market-based and balance sheet information and conduct an empirical analysis for Chinese banking industry. This would be useful to derive standard risk measures for the interbank market as a whole.

Date: 2015
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DOI: 10.1080/13504851.2014.980568

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