Interbank exposures: Quantifying the risk of contagion

Research output: Contribution to journalArticlepeer-review

262 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)111-128
Number of pages18
JournalJournal of Money, Credit and Banking
Issue number1
StatePublished - Jan 1 2003

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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