We examine contagion from a number of financial systems to the German financial system using the information content of … evidence for contagion from the US and European financial systems. Our results additionally confirm that the set up of the … financial rescue scheme in Germany partially shielded German banks but not insurance companies from contagion. Overall, our …

Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of … interbank contagion over time. (ii) The loss distribution for each point in time can be condensed into one indicator, the …

contagion depends on the precise pattern of interbank linkages. We use balance sheet information to estimate the matrix of … contagion. We find that the financial safety net (institutional guarantees for saving banks and cooperative banks) considerably … reduces – but does not eliminate – the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …

more stable than random networks. Systemic risk via contagion is compared to common shocks and it is shown that both forms …

system to interbank contagion. Third, the more concentrated assets are within a money center model, the less stable it is …

This paper investigates contagion at the German interbank market under the assumption of a stochastic loss given … tendency to trigger contagion: banks with strongly varying impact, banks whose impact is relatively constant, and banks with no …

which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales … on the asset price in both the crisis and no-crisis state. In our model, the two are jointly determined by a cash …-in-the-market pricing and a no-arbitrage condition. We find that (i) a higher crisis probability increases the liquidity premium and thus …

suffered sizeable trading losses during the recent crisis. Due to the size and prevalence of losses, a formal examination of …