Interbank Exposures: Quantifying the Risk of Contagion

BIS Working Paper No. 70

19 Pages Posted: 13 Jul 1999

Date Written: June 1999


This paper examines the likelihood that failure of one bank would cause the subsequent collapse of a large number of other banks. Using unique data on interbank payment flows, the magnitude of bilateral federal funds exposures is quantified. These exposures are used to simulate the impact of various failure scenarios, and the risk of contagion is found to be economically small.

JEL Classification: G21

Suggested Citation

Furfine, Craig, Interbank Exposures: Quantifying the Risk of Contagion (June 1999). BIS Working Paper No. 70, Available at SSRN: or

Craig Furfine (Contact Author)

Kellogg School of Management - Department of Finance ( email )

Evanston, IL 60208
United States

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