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Interbank exposures: quantifying the risk of contagion

Type
Publication
Series
BIS Working Paper 70
Date Published
02 June 1999
Sources
Bank for International Settlements

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.


The views expressed in this publication are those of the authors and do not necessarily reflect the views of the BIS or its member central banks.