Interbank exposures: Quantifying the risk of contagion

Research output: Contribution to journalArticlepeer-review

262 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)111-128
Number of pages18
JournalJournal of Money, Credit and Banking
Volume35
Issue number1
DOIs
StatePublished - Jan 1 2003

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Interbank exposures: Quantifying the risk of contagion'. Together they form a unique fingerprint.

Cite this