Loss distribution of interbank contagion risk

被引：2

作者：

Li, Shouwei ^{[1
]}

Sui, Xin ^{[1
]}

Xu, Tao ^{[1
]}

机构：

[1] Southeast Univ, Sch Econ & Management, Nanjing 211189, Jiangsu, Peoples R China

来源：

APPLIED ECONOMICS LETTERS | 2015年 / 22卷 / 10期

关键词：

loss distribution; default probability; contagion risk; market structure; G33; G21; MARKET; EXPOSURES; DISTANCE; DEFAULT;

D O I：

10.1080/13504851.2014.980568

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this article, we propose a method to measure the loss distribution of interbank contagion risk by using market-based and balance sheet information and conduct an empirical analysis for Chinese banking industry. This would be useful to derive standard risk measures for the interbank market as a whole.

引用

页码：830 / 834

页数：5

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