Interbank exposures: quantifying the risk of contagion
C. H. Furfine
This paper examines the likelihood that failure of one bank would cause the subsequent collapse of a large number of other banks. Using unique data on interbank payment flows, the magnitude of bilateral federal funds exposures is quantified. These exposures are used to ...
Aharony, Joseph and Itzhak Swary (1983): “Contagion Effects of Bank Failures: Evidence from Capital Markets”. Journal of Business, vol. 56, pp. 305-22.
Angelini, P, G Maresca, and D Russo (1996): “Systemic risk in the netting system”. Journal of Banking and Finance, vol. 20, pp. 853-68.
James, Christopher (1991): “The Losses Realized in Bank Failures”. The Journal of Finance, vol. 46, pp. 1223-42.
Jayanti, S V and Ann Marie Whyte (1996): “Global Contagion Effects of the Continental Illinois Failure”. Journal of International Financial Markets, Institutions & Money, vol. 6, pp. 87-99.
Kaufman, George G (1996): “Bank Failures, Systemic Risk, and Bank Regulation”. Working Paper 96-1, Federal Reserve Bank of Chicago.
Kaufman, George G (1994): “Bank Contagion: A Review of the Theory and Evidence”. Journal of Financial Services Research, vol. 8, pp. 123-50.
Kaufman, George G (1985): “Implications of Large Bank Problems and Insolvencies for the Banking System and Economic Policy”. Staff Memoranda 85-3, Federal Reserve Bank of Chicago.
Loretan, Mico (1995): “Systemic Risk in a Model Economy with a Stylized Banking System”. Mimeo, Federal Reserve Board of Governors.
McAndrews, James J and George Wasilyew (1995): “Simulations of Failure in a Payment System”. Working Paper 95-19, Federal Reserve Bank of Philadelphia.
McDonough, William J (1998): Testimony by the President of the Federal Reserve Bank of New York before the Committee on Banking and Financial Services of the US House of Representatives on 1 October 1998.