LIBROS DEL AUTOR: angelika sachs

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  • Contagion in the Interbank Market With Stochastic Loss Given Default
    Angelika Sachs / Christoph Memmel / International Journal of Central Banking
    This paper investigates contagion in the German interbank market under the assumption of a stochastic loss given default (LGD). We combine a unique data set about the LGD of interbank loans with detailed data about interbank exposures. We find that the frequency distribution of the LGD is markedly U-shaped. Our simulations show that contagion in the German interbank market may ...
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