Individual German banks at risk from interbank shocks, paper finds
Bundesbank paper presents simulation method for analysing interbank markets
Germany’s banking system appears to be very resilient to shocks to interbank funding, but individual banks are more vulnerable, a new working paper finds.
The paper published by the Deutsche Bundesbank presents a simulation method of assessing the risks in interbank financing markets. In Interbank risk assessment – A simulation approach, Maximilian Jager, Thomas Siemsen and Johannes Vilsmeier apply their method to data from the German interbank market at the end of 2016.
The authors examine
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