CoMap: Mapping Contagion in the Euro Area Banking Sector

Released on by Mehmet Ziya Gorpe
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  • CoMap: Mapping Contagion in the Euro Area Banking Sector Book Detail

  • Author : Mehmet Ziya Gorpe
  • Release Date : 2019-05-13
  • Publisher : International Monetary Fund
  • Genre : Business & Economics
  • Pages : 63
  • ISBN 13 : 1498315348
  • File Size : 73,73 MB
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CoMap: Mapping Contagion in the Euro Area Banking Sector by Mehmet Ziya Gorpe PDF Summary

Book Description: 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.

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