Interbank Exposures: Quantifying the Risk of Contagion

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Bank for International Settlements, Monetary and Economic Department, 1999 - Bank failures - 14 pages
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This paper examines the likelihood that failure of one bank would cause the subsequent collapse of a large number 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.

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Contents

Introduction
1
Simulation results
7
References
13
Copyright

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