摘要：We investigate interlinkages and contagion risks in the Dutch interbank market.
Based on several data sources, including survey data, we estimate the exposures
in the interbank market at bank level. Next, we perform a scenario analysis to
measure contagion risks. We find that the bankruptcy of one of the large banks
will put a considerable burden on the other banks but will not lead to a
complete collapse of the interbank market. The exposures to foreign
counterparties are large and warrant further research. An important contribution
of this paper is that we show, using survey data, that the entropy estimation
using large exposures data as applied in many previous papers gives an adequate
approximation of the actual linkages between banks. Hence, this methodology does
not seem to introduce a bias.
