IMF Working Papers

CoMap: Mapping Contagion in the Euro Area Banking Sector

By Mehmet Ziya Gorpe, Giovanni Covi, Christoffer Kok

May 10, 2019

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Mehmet Ziya Gorpe, Giovanni Covi, and Christoffer Kok. CoMap: Mapping Contagion in the Euro Area Banking Sector, (USA: International Monetary Fund, 2019) accessed January 13, 2025

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

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.

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

Keywords: Asset liquidity, Balance sheet, Bank default, Banking system, Capital base, Central bank, Commercial banks, Credit risk, Default threshold, Discount rate, EA bank, Funding risk, Global, Interconnectedness, Large Exposures, Liquidity, Liquidity surplus, Macroprudential Policy, Network Analysis, RWAs vis-à-vis credit institution, Stress Test, Systemic Risk, Vulnerability index, WP

Publication Details

  • Pages:

    63

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2019/102

  • Stock No:

    WPIEA2019102

  • ISBN:

    9781498312073

  • ISSN:

    1018-5941

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