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| Author: | Furfine, C.H. |
| Title: | Interbank exposures: quantifying the risk of contagion |
| Journal: | Journal of Money, Credit and Banking
2003 : FEB, VOL. 35:1, p. 111-128 |
| Index terms: | Banking Banks Risk |
| Freeterms: | Contagion |
| Language: | eng |
| Abstract: | The degree to which the failure of one bank would cause the subsequent collapse to other banks is examined in this paper. The magnitude of bilateral federal funds exposure is quantified using unique data on interbank payment flows. These exposures are used to simulate the impact of various failure scenarios, and the risk of contagion is found to be economically small. |
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