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Measuring Contagion Effects in the Swedish Banking Sector using Round by Round Simulation
Örebro University, Orebro University School of Business, Örebro University, Sweden.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Banks play a central role in the Swedish financial markets by covering over 50% of total assets and providing essential intermediary services. The financing opportunities over the interbank market are highly important for a well performing financial system and consequently for the whole economy. Fragilities in the structure of the interbank market present a serious danger to the health of the economy, as they could induce domino effects that have the potential to let the whole banking system fail within a short period of time. The purpose of this thesis is to use round by round simulations with five of the main banks in Sweden in order to identify possible fragilities in the interbank market that could lead to substantial social costs in a financial crisis. The results suggest that contagion is a danger to the Swedish interbank market with the potential to destroy vast amounts of asset value after an instantaneous default of a market participant.

Place, publisher, year, edition, pages
2013. , 25 p.
National Category
URN: urn:nbn:se:oru:diva-29862ISRN: ORU-HHS/NEK-AS-2013/0004--SEOAI: diva2:634110
Subject / course
Available from: 2013-09-06 Created: 2013-06-28 Last updated: 2013-09-06Bibliographically approved

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Orebro University School of Business, Örebro University, Sweden

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