CoMap: Mapping Contagion in the Euro Area Banking Sector
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Summary:
This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.
Series:
Working Paper No. 2019/102
Subject:
Asset and liability management Asset liquidity Banking Commercial banks Credit risk Financial institutions Financial regulation and supervision Financial sector policy and analysis Liquidity Systemic risk
English
Publication Date:
May 10, 2019
ISBN/ISSN:
9781498312073/1018-5941
Stock No:
WPIEA2019102
Pages:
63
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