Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis

Iman Lelyveld and Franka Liedorp

MPRA Paper from University Library of Munich, Germany

Abstract: We investigate interlinkages and contagion risks in the Dutch interbank market. Based on several data sources, including survey data, 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 exposures to foreign counterparties are large and warrant further research. An important contribution of this paper is that we show, using survey data, that the entropy estimation using large exposures data as applied in many previous papers gives an adequate approximation of the actual linkages between banks. Hence, this methodology does not seem to introduce a bias.

JEL-codes: G0 G00 (search for similar items in EconPapers)
Date: 2006-01-24
New Economics Papers: this item is included in nep-ban
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Citations: View citations in EconPapers (140)

Published in International Journal of Central Banking Number 2.Volume(2006): pp. 99-133

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Journal Article: Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:806

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