Insolvency and contagion in the Brazilian interbank market

摘要: Abstract This paper proposes a new way to model and analyze contagion in interbank networks. We use unique dataset from the Brazilian financial system include all active intermediaries. show that chain has short propagation path. find first-round is generated only by banks medium-sized can generate contagion, which implies size not sole determinant of importance within Most vulnerable institutions are banks. Finally, we compute lower bound for expected losses 1-year horizon. The results contribute development stability-monitoring toolkit.