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Contagion in the Interbank Market and its Determinants
Abstract
Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for each point in time can be condensed into one indicator, the expected number of failures, without much loss of information. (iii) Important determinants...
Paper Details
Title
Contagion in the Interbank Market and its Determinants
Published Date
Jan 1, 2012
Journal
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