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.

Redner/-in

Iman van Lelyveld

University Nijmegen

Termin

27.04.2005 | 15:00 - 16:30

Veranstaltungsort

ZEW, L 7,1 D-68161 Mannheim

Raum

Hamburg

Kontakt

Senior Researcher