Spatial Interaction Model of Credit Risk Contagion in the CRT Market
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- Diana Barro & Antonella Basso, 2008. "Credit contagion in a network of firms with spatial interaction," Working Papers 186, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Murat Celik, H. & Guldmann, Jean-Michel, 2007. "Spatial interaction modeling of interregional commodity flows," Socio-Economic Planning Sciences, Elsevier, vol. 41(2), pages 147-162, June.
- Helen Haworth & Christoph Reisinger & William Shaw, 2008. "Modelling bonds and credit default swaps using a structural model with contagion," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 669-680.
- Giesecke, Kay, 2004. "Correlated default with incomplete information," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1521-1545, July.
- Carling, Kenneth & Lundberg, Sofia, 2005. "Asymmetric information and distance: an empirical assessment of geographical credit rationing," Journal of Economics and Business, Elsevier, vol. 57(1), pages 39-59.
- Didier Cossin & Henry Schellhorn, 2007. "Credit Risk in a Network Economy," Management Science, INFORMS, vol. 53(10), pages 1604-1617, October.
- M. Davis & V. Lo, 2001. "Infectious defaults," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 382-387.
- Allen, Franklin & Carletti, Elena, 2006. "Credit risk transfer and contagion," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 89-111, January.
- Neu, Peter & Kühn, Reimer, 2004. "Credit risk enhancement in a network of interdependent firms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 639-655.
- Santos, Tano, 2006. "Comment on: Credit risk transfer and contagion," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 113-121, January.
- Paul Krugman, 1997. "Development, Geography, and Economic Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 026261135x, March.
- Laura E. Kodres & Matthew Pritsker, 2002. "A Rational Expectations Model of Financial Contagion," Journal of Finance, American Finance Association, vol. 57(2), pages 769-799, April.
- 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..
- 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.
- Giesecke, Kay, 2006. "Default and information," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2281-2303, November.
- 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.
- Philippe Jorion & Gaiyan Zhang, 2009. "Credit Contagion from Counterparty Risk," Journal of Finance, American Finance Association, vol. 64(5), pages 2053-2087, October.
More about this item
KeywordsCredit risk contagion; Entropy spatial model; CRT market; Spatial distance; Risk preference;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:46:y:2015:i:4:p:519-537. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.