Contagion in the Interbank Market with Stochastic Loss Given Default 1

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Contagion in the Interbank Market with Stochastic Loss Given Default

Christoph Memmel • Angelika Sachs • International Journal Of Central Banking

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34 sidor
2012

This paper investigates contagion in the German interbank market under the assumption of a stochastic loss given default (LGD). We combine a unique data set about the LGD of interbank loans with detailed data about interbank exposures. We find that the frequency distribution of the LGD is markedly U-shaped. Our simulations show that contagion in the German interbank market may happen. For the point in time under consideration, the assumption of a stochastic LGD leads on average to a more fragile banking system than under the assumption of a constant LGD.

Författare: Christoph Memmel, Angelika Sachs, International Journal Of Central Banking
Format: Pocket/Paperback
ISBN: 9781249454755
Språk: Engelska
Antal sidor: 34
Utgivningsdatum: 2012-09-20
Förlag: Bibliogov