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- W3123353204 abstract "Interbank markets allow banks to cope with specific liquidity shocks. At the same time, they may be a channel allowing a bank default to spread to other banks. This paper analyzes how contagion propagates within the Italian interbank market using a unique data set including actual bilateral exposures. Since information on bilateral exposures was not available in most previous studies, they assumed that banks spread their lending as evenly as possible among all the other banks by maximizing the entropy of interbank linkages. Based on the data available on actual bilateral exposures for all Italian banks, the results obtained by assuming the maximum entropy are compared with those reflecting the observed structure of interbank claims. The comparison indicates that, in line with the thesis prevailing in the literature, the maximum entropy method tends to underestimate the extent of contagion. However, this does not hold in general. Under certain circumstances, depending on the structure of the interbank linkages, the recovery rates of interbank exposures and banksi?½ capitalization, the maximum entropy approach overestimates the scope for contagion." @default.
- W3123353204 created "2021-02-01" @default.
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- W3123353204 date "2007-01-01" @default.
- W3123353204 modified "2023-10-01" @default.
- W3123353204 title "Assessing Financial Contagion in the Interbank Market: Maximum Entropy Versus Observed Interbank Lending Patterns" @default.
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- W3123353204 doi "https://doi.org/10.2139/ssrn.1001681" @default.
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