Contagion Effect in Banking System - Measures Based on Randomised Loss Scenarios

• Autorzy: Grzegorz Hałaj

Warianty tytułu

Efekt domina w systemie bankowym - miary oparte na losowych scenariuszach strat

• Języki publikacji: EN

Abstrakty

EN

The article discusses measures of risk of the domino effect (contagion) transmitted through interbank market and presents the results of the implementation of a measurement procedure in the Polish banking sector. It shows how a very limited set of available data - interbank exposures and information from balance sheets and profit and loss accounts - can help in generating randomised scenarios of possible losses related to market and credit risk that can trigger or amplify the contagion effect. (original abstract)

W artykule przedstawiono miary ryzyka wystąpienia efektu domina (zarażania) w systemie bankowym, którego transmisja odbywa się przez rynek międzybankowy. Zaprezentowano wyniki pomiary tego ryzyka w polskim systemie bankowym. Pokazano, jak przy pomocy bardzo ograniczonego zbioru dostępnych danych - wysokości lokat międzybankowych i informacji z bilansów i rachunków wyników banków - można otrzymywać w symulacji losowe straty wynikające z ryzyka rynkowego lub kredytowego, które mogą wywoływać lub wzmacniać efekt domina w systemie bankowym. (abstrakt oryginalny)

Słowa kluczowe

EN

Banking system; Interbank market; Market risk; Credit risk; Risk measures; Domino effect; Contagion effect

PL

System bankowy; Rynek międzybankowy; Ryzyko rynkowe; Ryzyko kredytowe; Pomiar ryzyka; Efekt domino; Efekt zarażania

• Czasopismo: Bank i Kredyt
• Rocznik: 2007
• Numer: nr 6
• Strony: 69--80

Twórcy

autor

Grzegorz Hałaj

Bibliografia

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