Interbank Contagion in the Dutch Banking Sector

We investigate interlinkages and contagion risks in the Dutch interbank market. Based on severaldata sources, including the answers of banks to a questionnaire, we estimate the exposures in theinterbank market at bank level. Next, we perform a scenario analysis to measure contagion risks.We find that the bankruptcy of one of the large banks will put a considerable burden on the otherbanks, but will not lead to a complete collapse of the interbank market. The contagion effects ofthe failure of a smaller bank are limited. The exposures to foreign counterparties are large andwarrant further research.