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Interbank Contagion in the Dutch Banking Sector

Iman Lelyveld and Franka Liedorp

DNB Working Papers from Netherlands Central Bank, Research Department

Abstract: 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)
Date: 2004-07
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:005

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