Loss distribution of interbank contagion risk

Abstract

In this article, we propose a method to measure the loss distribution of interbank contagion risk by using market-based and balance sheet information and conduct an empirical analysis for Chinese banking industry. This would be useful to derive standard risk measures for the interbank market as a whole.

Keywords:

• contagion risk
• loss distribution
• default probability
• market structure

JEL Classification:

• G21
• G33

Additional information

Funding

This research is supported by National Nature Science Foundation of China [grant numbers 71201023, 71371051, 71301078], Humanities and Social Science Youth Foundation of the Ministry of Education of China [grant number 12YJC630101] and Funding of Jiangsu Innovation Program for Graduate Education [grant number KYLX_0212].