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M P RA Contagion effect in banking system-measures based on randomised loss scenarios Contagion effect in banking system-measures based on randomised loss scenarios

Munich Personal, Repec Archive, Grzegorz Ha, Grzegorz Haa
2006 unpublished

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Measures of risk of domino effect (contagion) transmitted through inter-bank market are discussed and results on implementation of measurement procedure in banking sector are presented. It is shown how a very limited set of available data-interbank exposures and information from balance sheets and profit a loss accounts-can help in generating randomised scenarios of possible losses related to market and credit risk.
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Munich Personal, Repec Archive, Grzegorz Ha, Grzegorz Haa. "M P RA Contagion effect in banking system-measures based on randomised loss scenarios Contagion effect in banking system-measures based on randomised loss scenarios." (2006)