Bjørland, Christian; Kockerols, Thore - 2020
We develop a macroprudential contagion stress test framework to examine how a network of Norwegian banks can amplify a … valuation losses for banks (indirect contagion), and how recapitalisation of banks can lead to direct contagion. We perform … model. Using data for 22 banks from 2019 Q2 we find that losses due to contagion can reach 2 percentage points (pp) of the …