This paper tests financial contagion due to interbank linkages. For identification we exploit an idiosyncratic, sudden … contagion is higher for banks with weaker fundamentals. Third, interbank linkages among surviving banks further propagate the … linkages act as an important channel of contagion and hold important policy implications. …

This paper tests financial contagion due to interbank linkages. For identification we exploit an idiosyncratic, sudden … contagion is higher for banks with weaker fundamentals. Third, interbank linkages among surviving banks further propagate the … linkages act as an important channel of contagion and hold important policy implications …

risk of the euro area banking system based on bilateral linkages. We then develop a Contagion Mapping (CoMap) methodology … the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic … to study contagion potential of an exogenous default shock via counterparty credit and funding risks. We construct …

availability of bank-by-bank bilateral exposures. Our model can be used to simulate and assess interbank contagion effects on … banking sector soundness and resilience. We find a strongly non-linear pattern across the distribution of simulated networks …, whereby only for a small percentage of networks the impact of interbank contagion will substantially reduce average solvency …

financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to … controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … of fire sale mechanisms. We then demonstrate the power of the methodology on the euro area banking system based on a …

are that complementing bank specific vulnerabilities with indicators for macro-financial imbalances and banking sector …

crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the … related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still …