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

Abstract

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

Halaj, Grzegorz, Contagion Effect in Banking System - Measures Based on Randomised Loss Scenarios. Journal on Economics and Finance, No. 6, pp. 69-80, 2007, Available at SSRN: https://ssrn.com/abstract=1030523

Grzegorz Halaj (Contact Author)

National Bank of Poland ( email )

00-919 Warsaw
Poland

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