  Systemic liquidity risk, defined by the IMF as "the risk of simultaneous
liquidity difficulties at multiple financial institutions", is a key topic in
macroprudential policy and financial stress analysis. Specialized models to
simulate funding liquidity risk and contagion are available but they require
not only banks' bilateral exposures data but also balance sheet data with
sufficient granularity, which are hardly available. Alternatively, risk
analyses on interbank networks have been done via centrality measures of the
underlying graph capturing the most interconnected and hence more prone to risk
spreading banks. In this paper, we propose a model which relies on an epidemic
model which simulate a contagion on the interbank market using the funding
liquidity shortage mechanism as contagion process. The model is enriched with
country and bank risk features which take into account the heterogeneity of the
interbank market. The proposed model is particularly useful when full set of
data necessary to run specialized models is not available. Since the interbank
network is not fully available, an economic driven reconstruction method is
also proposed to retrieve the interbank network by constraining the standard
reconstruction methodology to real financial indicators. We show that the
contagion model is able to reproduce systemic liquidity risk across different
years and countries. This result suggests that the proposed model can be
successfully used as a valid alternative to more complex ones.
