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Stochastic cascades, credit contagion, and large portfolio losses

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  • Horst, Ulrich

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  • Horst, Ulrich, 2007. "Stochastic cascades, credit contagion, and large portfolio losses," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 25-54, May.
    • Handle: RePEc:eee:jeborg:v:63:y:2007:i:1:p:25-54
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    7. Giesecke, Kay & Weber, Stefan, 2004. "Cyclical correlations, credit contagion, and portfolio losses," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3009-3036, December.
    8. Cooper, Russell, 1994. "Equilibrium Selection in Imperfectly Competitive Economies with Multiple Equilibria," Economic Journal, Royal Economic Society, vol. 104(426), pages 1106-1122, September.
    9. Robert A. Jarrow & Fan Yu, 2008. "Counterparty Risk and the Pricing of Defaultable Securities," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 20, pages 481-515, World Scientific Publishing Co. Pte. Ltd..
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    11. Gerber, Hans U., 1994. "Martingales and Tail Probabilities," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 24(01), pages 145-146, May.
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    Cited by:

    1. Michael Beenstock & Mahmood Khatib, 2018. "Contagion And Correlation In Empirical Models Of Bank Credit Risk In Israel," Israel Economic Review, Bank of Israel, vol. 15(1), pages 1-34.
    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. Horst, Ulrich, 2010. "Dynamic systems of social interactions," Journal of Economic Behavior & Organization, Elsevier, vol. 73(2), pages 158-170, February.
    4. Sergey Nadtochiy & Mykhaylo Shkolnikov, 2017. "Particle systems with singular interaction through hitting times: application in systemic risk modeling," Papers 1705.00691, arXiv.org.
    5. Vitali, Stefania & Battiston, Stefano & Gallegati, Mauro, 2016. "Financial fragility and distress propagation in a network of regions," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 56-75.
    6. 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.
    7. Huang, Xue & Wang, Zhibin, 2024. "Does minority shareholder activism impede corporate default risk? Evidence from China," Finance Research Letters, Elsevier, vol. 61(C).
    8. Thomas Lagner & Dodozu Knyphausen‐Aufseß, 2012. "Rating Agencies as Gatekeepers to the Capital Market: Practical Implications of 40 Years of Research," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(3), pages 157-202, August.
    9. Tom Fischer, 2010. "No-arbitrage pricing under cross-ownership," Papers 1005.0768, arXiv.org.
    10. Roy Cerqueti & Francesca Pampurini & Annagiulia Pezzola & Anna Grazia Quaranta, 2022. "Dangerous liasons and hot customers for banks," Review of Quantitative Finance and Accounting, Springer, vol. 59(1), pages 65-89, July.
    11. Paolo Dai Pra & Wolfgang J. Runggaldier & Elena Sartori & Marco Tolotti, 2007. "Large portfolio losses: A dynamic contagion model," Papers 0704.1348, arXiv.org, revised Mar 2009.
    12. Edirisinghe, Chanaka & Gupta, Aparna & Roth, Wendy, 2015. "Risk assessment based on the analysis of the impact of contagion flow," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 209-223.
    13. Tom Fischer, 2014. "No-Arbitrage Pricing Under Systemic Risk: Accounting For Cross-Ownership," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 97-124, January.
    14. Cerqueti, Roy & Pampurini, Francesca & Quaranta, Anna Grazia & Storani, Saverio, 2024. "Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment," Finance Research Letters, Elsevier, vol. 62(PA).
    15. Chen, Tingqiang & Wang, Jiepeng & Liu, Haifei & He, Yuanping, 2019. "Contagion model on counterparty credit risk in the CRT market by considering the heterogeneity of counterparties and preferential-random mixing attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 458-480.
    16. Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
    17. Acedański, Jan & Karkowska, Renata, 2022. "Instability spillovers in the banking sector: A spatial econometrics approach," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).

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