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Contagion in the interbank market and its determinants
Memmel, Christoph; Sachs, Angelika - Deutsche Bundesbank - 2011
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 …
Persistent link: https://www.econbiz.de/10010954917
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Contagion in the interbank market and its determinants
Memmel, Christoph; Sachs, Angelika - 2011
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 …
Persistent link: https://www.econbiz.de/10010308732
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Contagion at the interbank market with stochastic LGD
Memmel, Christoph; Sachs, Angelika; Stein, Ingrid - Deutsche Bundesbank - 2011
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 …
Persistent link: https://www.econbiz.de/10009004688
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Contagion at the interbank market with stochastic LGD
Memmel, Christoph; Sachs, Angelika; Stein, Ingrid - 2011
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 …
Persistent link: https://www.econbiz.de/10010304513
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Contagion in the Interbank Market and its Determinants
Memmel, Christoph - 2016
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 …
Persistent link: https://www.econbiz.de/10012989218
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Contagion at the Interbank Market with Stochastic Lgd
Memmel, Christoph - 2016
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 …
Persistent link: https://www.econbiz.de/10012989232
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Contagion in the Interbank Market and its Determinants
Memmel, Christoph - 2013
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 …
Persistent link: https://www.econbiz.de/10013086731
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Contagion in the Interbank Market with Stochastic Loss Given Default
Memmel, Christoph - 2012
This paper investigates contagion in the German interbank market under the assumption of a stochastic loss given … find that the frequency distribution of the LGD is markedly U-shaped. Our simulations show that contagion in the German …
Persistent link: https://www.econbiz.de/10013100415
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Contagion in the interbank market and its determinants
Memmel, Christoph; Sachs, Angelika - In: Journal of financial stability 9 (2013) 1, pp. 46-54
Persistent link: https://www.econbiz.de/10009745201
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Who can better monitor a bank than another bank? : mechanisms of discipline in the Mexican interbank market
Tovar-García, Édgar Demetrio - In: Revista de métodos cuantitativos para la economía y … 21 (2016), pp. 205-229
also is a channel for contagion. Using a sample of 37 Mexican banks, from December 2008 to September 2012, and a dynamic …
Persistent link: https://www.econbiz.de/10011518172