Front Matter
Author:
Mr. Adrian Alter
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https://orcid.org/0000-0003-4752-4808
,
Ben Craig 0000000404811396 https://isni.org/isni/0000000404811396 International Monetary Fund

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, and
Peter Raupach 0000000404811396 https://isni.org/isni/0000000404811396 International Monetary Fund

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Publication Date:
24 Dec 2014
eISBN:
9781498315548
Language:
English
Keywords:
WP; banking system; interbank market
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Front Matter Page

African Department

Contents

  • I. Introduction

  • II. Methodology

  • A. Credit risk model

  • A.1. Large loans

  • A.2. Small loans

  • B. Centrality measures

  • III. Data sources

  • A. Large-Exposures Database (LED)

  • B. Borrower and balance sheet statistics

  • C. Market data

  • D. The German interbank market

  • IV. Modeling contagion

  • A. Bankruptcy costs

  • V. Optimization

  • VI. Results

  • VII. Conclusion

  • Collapse
  • Expand
Cover IMF Working Papers
Centrality-based Capital Allocations
Author:
Mr. Adrian Alter
,
Ben Craig
, and
Peter Raupach
Volume/Issue:
Volume 2014: Issue 237
Publisher:
International Monetary Fund
ISBN:
9781498315548
ISSN:
1018-5941
Pages:
40
DOI:
https://doi.org/10.5089/9781498315548.001