German interbank contagion risk concentrated around four large banks, paper argues
Researchers propose new model to calculate costs of interbank contagion
Contagion risk in the German interbank credit market is concentrated around four institutions, a paper published this month by the Deutsche Bundesbank argues.
In The credit quality channel: modeling contagion in the interbank market, Kilian Fink, Ulrich Krüger, Barbara Meller and Lui-Hsian Wong propose a network-based approach to measuring financial contagion in the interbank market.
The authors calculate the probability of default of individual banks. They then study the effect of an increase
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