Contagion effect in banking system - measures based on randomised loss scenarios

Grzegorz Halaj

MPRA Paper from University Library of Munich, Germany

Abstract: Measures of risk of domino effect (contagion) transmitted through interbank market are discussed and results on implementation of measurement procedure in banking sector are presented. It is shown how a very limited set of available data – interbank exposures and information from balance sheets and profit a loss accounts – can help in generating randomised scenarios of possible losses related to market and credit risk.

Keywords: Contagion; banking system; interbank (search for similar items in EconPapers)
JEL-codes: C62 G21 (search for similar items in EconPapers)
Date: 2006-10
New Economics Papers: this item is included in nep-acc, nep-ban, nep-bec and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:525

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