Contagion Effect in Banking System - Measures Based on Randomised Loss Scenarios
Journal on Economics and Finance, No. 6, pp. 69-80, 2007
12 Pages Posted: 16 Nov 2007
The article discusses measures of risk of the domino effect (contagion) transmitted through interbank market and presents the results of the implementation of a measurement procedure in the Polish banking sector. It shows how a very limited set of available data - interbank exposures and information from balance sheets and profit and loss accounts - can help in generating randomised scenarios of possible losses related to market and credit risk that can trigger or amplify the contagion effect.
Keywords: contagion, interbank market
JEL Classification: C15, E47
Suggested Citation: Suggested Citation