A credit contagion model for loan portfolios in a network of firms with spatial interaction
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References listed on IDEAS
- Kern, Markus & Rudolph, Bernd, 2001. "Comparative analysis of alternative credit risk models: An application on German middle market loan portfolios," CFS Working Paper Series 2001/03, Center for Financial Studies (CFS).
- Stefan Weber & Kay Giesecke, 2003. "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003 246, Society for Computational Economics.
- 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.
- Carling, Kenneth & Rönnegård, Lars & Roszbach, Kasper, 2004. "Is Firm Interdependence within Industries Important for Portfolio Credit Risk?," Working Paper Series 168, Sveriges Riksbank (Central Bank of Sweden).
- Lucas, Andre & Klaassen, Pieter & Spreij, Peter & Straetmans, Stefan, 2001.
"An analytic approach to credit risk of large corporate bond and loan portfolios,"
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- 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.
More about this item
Keywordscredit risk; bank loan portfolios; contagion models; entropy spatial models;
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-18 (All new papers)
- NEP-BAN-2006-11-18 (Banking)
- NEP-CMP-2006-11-18 (Computational Economics)
- NEP-GEO-2006-11-18 (Economic Geography)
- NEP-RMG-2006-11-18 (Risk Management)
- NEP-URE-2006-11-18 (Urban & Real Estate Economics)
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