Interbank Exposures: Quantifying the Risk of Contagion
Top Cited Papers
- 1 January 2003
- journal article
- research article
- Published by Project MUSE in Journal of Money, Credit and Banking
- Vol. 35 (1) , 111-128
- https://doi.org/10.1353/mcb.2003.0004
Abstract
This paper examines the degree to which the failure of one bank would cause the subsequent collapse of other banks. Using unique data on interbank payment flows, the magnitude of bilateral federal funds exposures is quantified. These exposures are used to simulate the impact of various failure scenarios, and the risk of contagion is found to be economically small.Keywords
All Related Versions
This publication has 0 references indexed in Scilit: