Publication
Sep 2013
This paper presents a multi-layered interbank network model based on a sample of large EU banks for assessing systemic risk. The authors argue that existing literature on the subject confines the bank-to-bank spillover effects to specific segments. However, in reality banks are interrelated in several dimensions of their business activities. Unless contagion risk across the many layers of interrelations between banks are taken into account, it is likely that contagion effects will be substantially underestimated.
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English (PDF, 55 pages, 2.0 MB) |
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Author | Mattia Montagna, Christoffer Kok |
Series | Kiel Institute Working Papers |
Issue | 1873 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2013 Kiel Institute for the World Economy |