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CoMap: Mapping Contagion in the Euro Area Banking Sector
by Mehmet Ziya Gorpe, Giovanni Covi, and Christoffer Kok

Series:Working Paper No. 19/102
ISBN 9781498312073
Code: #WPIEA2019102

Publication year: 2019

Cdn: $27.00; US: $25.00
Paperback
Language: English
63 pages
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This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.
CoMap: Mapping Contagion in the Euro Area Banking Sector
Cdn: $27.00; US: $25.00
International Monetary Fund (IMF) BookID: 125125 Added: 2019.6.14