CoMap: Mapping Contagion in the Euro Area Banking Sector
Mehmet Ziya Gorpe,
Giovanni Covi () and
No 19/102, IMF Working Papers from International Monetary Fund
This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.
Keywords: Banking sector; Financial crises; Macroprudential policies and financial stability; Financial institutions; Central banks; Systemic Risk,Network Analysis,Interconnectedness,Large Exposures,Stress Test,Macroprudential Policy.,euro area,fire-sale,large exposure,interbank,fire sale (search for similar items in EconPapers)
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Working Paper: CoMap: mapping contagion in the euro area banking sector (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:19/102
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