Credit contagion and credit risk
Copyright policy )Credit contagion and credit risk
We study a simple, solvable model that allows us to investigate effects of credit contagion on the default probability of individual firms, in both portfolios of firms and on an economy wide scale. While the effect of interactions may be small in typical (most probable) scenarios they are magnified, due to feedback, by situations of economic stress, which in turn leads to fatter tails in loss distributions of large loan portfolios.
11 pages, 3 figures
- King's College London United Kingdom
- Kings College London, University of London United Kingdom
Physics - Physics and Society, Theorieanwendung, Economics, Finanzwirtschaft, Rechnungswesen, Wirtschaft, FOS: Physical sciences, Physics and Society (physics.soc-ph), theory application, FOS: Economics and business, Financial Planning, Accountancy, Risk Management (q-fin.RM), Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik, Contagion; Credit Risk; Credit Models; Correlation Modelling, Economic Statistics, Econometrics, Business Informatics, Quantitative Finance - Risk Management, ddc: ddc:330
Physics - Physics and Society, Theorieanwendung, Economics, Finanzwirtschaft, Rechnungswesen, Wirtschaft, FOS: Physical sciences, Physics and Society (physics.soc-ph), theory application, FOS: Economics and business, Financial Planning, Accountancy, Risk Management (q-fin.RM), Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik, Contagion; Credit Risk; Credit Models; Correlation Modelling, Economic Statistics, Econometrics, Business Informatics, Quantitative Finance - Risk Management, ddc: ddc:330
citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).26 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 10% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Top 10% impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Top 10%
Citations provided by BIP!Popularity provided by BIP!