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Insolvency and contagion in the Brazilian interbank market.
- Source :
-
Physica A . Aug2015, Vol. 431, p140-151. 12p. - Publication Year :
- 2015
-
Abstract
- This paper proposes a new way to model and analyze contagion in interbank networks. We use a unique dataset from the Brazilian financial system and include all active financial intermediaries. We show that the contagion chain has a short propagation path. We find that first-round contagion is generated only by banks and that medium-sized banks can generate contagion, which implies that size is not the sole determinant of importance within networks. Most vulnerable financial institutions are not banks. Finally, we compute a lower bound for the financial system expected losses in a 1-year horizon. The results contribute to the development of a financial stability-monitoring toolkit. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03784371
- Volume :
- 431
- Database :
- Academic Search Index
- Journal :
- Physica A
- Publication Type :
- Academic Journal
- Accession number :
- 102160637
- Full Text :
- https://doi.org/10.1016/j.physa.2015.03.005