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Credit contagion and aggregate losses

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  • Giesecke, Kay
  • Weber, Stefan
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    File URL: http://www.sciencedirect.com/science/article/B6V85-4GFV5DB-1/2/389a04d48c4e4a51858f0941fe92adcd
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 30 (2006)
    Issue (Month): 5 (May)
    Pages: 741-767

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    Handle: RePEc:eee:dyncon:v:30:y:2006:i:5:p:741-767

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    Web page: http://www.elsevier.com/locate/jedc

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    References

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    1. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
    2. Giesecke, Kay, 2004. "Correlated default with incomplete information," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1521-1545, July.
    3. Robert A. Jarrow, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
    4. Lucas, André & Klaassen, Pieter & Spreij, Peter, 1999. "An analytic approach to credit risk of large corporate bond and loan portfolios," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. Frey, Rudiger & McNeil, Alexander J., 2002. "VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1317-1334, July.
    6. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    7. Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
    8. Giesecke, Kay & Weber, Stefan, 2004. "Cyclical correlations, credit contagion, and portfolio losses," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3009-3036, December.
    9. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
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    Cited by:
    1. David Wozabal & Ronald Hochreiter, 2009. "A Coupled Markov Chain Approach to Credit Risk Modeling," Papers 0911.3802, arXiv.org, revised Jan 2014.
    2. Xu, Ruxing & Li, Shenghong, 2010. "Belief updating, debt pricing and financial decisions under asymmetric information," Research in International Business and Finance, Elsevier, vol. 24(2), pages 123-137, June.
    3. Ladley, Daniel, 2013. "Contagion and risk-sharing on the inter-bank market," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1384-1400.
    4. Herbertsson, Alexander, 2007. "Modelling Default Contagion Using Multivariate Phase-Type Distributions," Working Papers in Economics 271, University of Gothenburg, Department of Economics.
    5. Frey, Rüdiger & Backhaus, Jochen, 2010. "Dynamic hedging of synthetic CDO tranches with spread risk and default contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 710-724, April.
    6. Henriet, F. & Hallegatte, S. & Tabourier, L., 2011. "Firm-Network Characteristics and Economic Robustness to Natural Disasters," Working papers 355, Banque de France.
    7. David E Allen & R.R Boffey & R. J. Powell, 2011. "Survival of the fittest: contagion as a determinant of Canadian and Australian bank risk," Working papers 2011-03, Edith Cowan University, School of Business.
    8. Fred E. Benth & Geir Dahl & Carlo Mannino, 2010. "Computing optimal recovery policies for financial markets," DIS Technical Reports 2010-20, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".
    9. I. Onur Filiz & Xin Guo & Jason Morton & Bernd Sturmfels, 2008. "Graphical models for correlated defaults," Papers 0809.1393, arXiv.org.
    10. Bastos, Rafael & Pindado, Julio, 2013. "Trade credit during a financial crisis: A panel data analysis," Journal of Business Research, Elsevier, vol. 66(5), pages 614-620.
    11. Golbeck, Steven & Linetsky, Vadim, 2013. "Asset financing with credit risk," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 43-59.
    12. Konstantinos Spiliopoulos, 2014. "Systemic Risk and Default Clustering for Large Financial Systems," Papers 1402.5352, arXiv.org.
    13. Tao Peng, 2010. "Portfolio Credit Risk Modelling and CDO Pricing - Analytics and Implied Trees from CDO Tranches," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 8.
    14. Fernandes, Guilherme Barreto & Artes , Rinaldo, 2013. "Spatial correlation in credit risk and its improvement in credit scoring," Insper Working Papers wpe_321, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    15. Alexander Herbertsson, 2011. "Modelling default contagion using multivariate phase-type distributions," Review of Derivatives Research, Springer, vol. 14(1), pages 1-36, April.
    16. Kartik Anand & Prasanna Gai & Matteo Marsili, 2011. "Rollover risk, network structure and systemic financial crises," SFB 649 Discussion Papers SFB649DP2011-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    17. Egloff, Daniel & Leippold, Markus & Vanini, Paolo, 2007. "A simple model of credit contagion," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2475-2492, August.
    18. Gagliardini, Patrick & Gouriéroux, Christian, 2013. "Correlated risks vs contagion in stochastic transition models," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2241-2269.
    19. Herbertsson, Alexander & Rootzén, Holger, 2007. "Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach," Working Papers in Economics 269, University of Gothenburg, Department of Economics.
    20. Herbertsson, Alexander, 2007. "Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach," Working Papers in Economics 270, University of Gothenburg, Department of Economics.

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