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A simple model of credit contagion

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  • Egloff, Daniel
  • Leippold, Markus
  • Vanini, Paolo

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 31 (2007)
Issue (Month): 8 (August)
Pages: 2475-2492
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Handle: RePEc:eee:jbfina:v:31:y:2007:i:8:p:2475-2492

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For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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Cited by:
  1. Didier Rulli\`ere & Diana Dorobantu & Areski Cousin, 2009. "An extension of Davis and Lo's contagion model," Quantitative Finance Papers 0904.1653, arXiv.org, revised Feb 2010.
  2. Diana Barro & Antonella Basso, 2006. "A credit contagion model for loan portfolios in a network of firms with spatial interaction," Working Papers 143, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  3. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
  4. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer, vol. 26(2), pages 161-191, October.
  5. Barro, Diana & Basso, Antonella, 2010. "Credit contagion in a network of firms with spatial interaction," European Journal of Operational Research, Elsevier, vol. 205(2), pages 459-468, September.
  6. Diana Barro & Antonella Basso, 2008. "A network of business relations to model counterparty risk," Working Papers 171, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  7. Fabio Gobbi & Cecilia Mancini, 2006. "Identifying the covariation between the diffusion parts and the co-jumps given discrete observations," Quantitative Finance Papers math/0610621, arXiv.org, revised Jul 2008.
  8. Sebastian Heise & Reimer Kuehn, 2012. "Derivatives and Credit Contagion in Interconnected Networks," Quantitative Finance Papers 1202.3025, arXiv.org.
  9. Bandyopadhyay, Arindam, 2011. "Internal Assessment of Credit Concentration Risk Capital: A Portfolio Analysis of Indian Public Sector Bank," MPRA Paper 28672, University Library of Munich, Germany.
  10. Antonella Basso & Riccardo Gusso, 2008. "A credit contagion model for the dynamics of the rating transitions in a SME bank loan portfolio," Working Papers 162, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  11. Cecilia Mancini & Fabio Gobbi, 2010. "Identifying the Brownian Covariation from the Co-Jumps Given Discrete Observations," DiMaD Working Papers 2010-05, Dipartimento di Matematica per le Decisioni, Universita' degli Studi di Firenze.

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