Financial contagion in the interbank market: A literature review
Izid: 2018 | Izid: 66 | Številka: 6 | Stran(i): 35-38
Bančni vestnik default cascades financial contagion interbank exposure liquidity maximum entropy network theory payment systems simulations solvency
This paper reviews the literature on interbank contagion. It presents the results of empirical and simulation based studies. Data sourcing and how to deal with imperfect information is discussed. Additionally, methods for simulating: liquidity, solvency and other contagion channels are outlined. The aim is to provide an introduction to contagion literature suitable for young professional and other interested parties with basic financial background. I also propose improvements to the basic contagion model which is extensviely used.