Interbank Contagion in the Dutch Banking Sector
Iman Lelyveld and
DNB Working Papers from Netherlands Central Bank, Research Department
We investigate interlinkages and contagion risks in the Dutch interbank market. Based on severaldata sources, including the answers of banks to a questionnaire, we estimate the exposures in the interbank market at bank level. Next, we perform a scenario analysis to measure contagion risks. We find that the bankruptcy of one of the large banks will put a considerable burden on the other banks, but will not lead to a complete collapse of the interbank market. The contagion effects of the failure of a smaller bank are limited. The exposures to foreign counterparties are large and warrant further research.
Keywords: interbank market; contagion; simulation (search for similar items in EconPapers)
JEL-codes: G15 G20 (search for similar items in EconPapers)
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Working Paper: Interbank Contagion in the Dutch Banking Sector (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:005
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