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Credit contagion and credit risk

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  • J. P. L. Hatchett
  • R. Kuhn

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Suggested Citation

  • J. P. L. Hatchett & R. Kuhn, 2009. "Credit contagion and credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 373-382.
    • Handle: RePEc:taf:quantf:v:9:y:2009:i:4:p:373-382
    DOI: 10.1080/14697680802464162
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    References listed on IDEAS

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    1. Holger Kraft & Mogens Steffensen, 2006. "Bankruptcy, Counterparty Risk, and Contagion," FRU Working Papers 2006/03, University of Copenhagen. Department of Economics. Finance Research Unit.
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    Cited by:

    1. S. Heise & R. Kühn, 2012. "Derivatives and credit contagion in interconnected networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 85(4), pages 1-19, April.
    2. Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2013. "A network model of financial system resilience," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 219-235.
    3. Anand, Kartik & Gai, Prasanna & Marsili, Matteo, 2012. "Rollover risk, network structure and systemic financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1088-1100.
    4. Jiang, Shanshan & Fan, Hong, 2018. "Credit risk contagion coupling with sentiment contagion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 186-202.

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