We develop an operational model of information contagion and show how it may be integrated into a mainstream, top … quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress …

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In … existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a … questions. For that purpose, we propose to measure the potential cost of contagion of a given shock scenario by the aggregated …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though … up to four contagion defaults could occur due to an exogenous shock, the system-wide 99.9% VaR barely exceeds 1.5% of …