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Insolvency and Contagion in the Brazilian Interbank Market

Sergio Souza, Benjamin Tabak and Solange Guerra

No 320, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper analyzes the financial institutions (FIs) that operate in the Brazilian Interbank Market, investigating, through simulations, the potential contagion that they present, the contagion losses' and the contagion route associated to FIs' bankruptcies, and the value of the 1-year expected loss of the financial system. The paper also computes the possibility of contagion of other markets triggered by FIs' defaults in the interbank market. Besides, it identifies contagion transmitter FIs and losses amplifier FIs in the market studied. The analyses performed found no particularly important source of stress in the Brazilian financial system, in the period.

Date: 2013-08
New Economics Papers: this item is included in nep-ban, nep-fmk, nep-lam and nep-spo
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Journal Article: Insolvency and contagion in the Brazilian interbank market (2015) Downloads
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