Interbank exposures: quantifying the risk of contagion

C. Furfine

No 70, BIS Working Papers from Bank for International Settlements

Abstract: This paper examines the likelihood that failure of one bank would cause the subsequent collapse of a large number 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.

Pages: 26 pages
Date: 1999-06
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Citations: View citations in EconPapers (49)

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