Credit contagion in a network of firms with spatial interaction
| Autor: | Antonella Basso, Diana Barro |
|---|---|
| Rok vydání: | 2010 |
| Předmět: |
Information Systems and Management
General Computer Science jel:C63 Financial economics media_common.quotation_subject Contagion models jel:D61 Management Science and Operations Research Industrial and Manufacturing Engineering Stock exchange Econometrics Economics Entropy (information theory) Credit risk media_common credit risk bank loan portfolios contagion models entropy spatial models Finance Bank loan portfolios Entropy spatial models Interdependence Loan Modeling and Simulation Business relations Portfolio Credit valuation adjustment |
| Zdroj: | European Journal of Operational Research. 205:459-468 |
| ISSN: | 0377-2217 |
| DOI: | 10.1016/j.ejor.2010.01.017 |
| Popis: | This contribution studies the effects of credit contagion on the credit risk of a portfolio of bank loans. To this aim we introduce a model that takes into account the counterparty risk in a network of interdependent firms that describes the presence of business relations among different firms. The location of the firms is simulated with probabilities computed using an entropy spatial interaction model. By means of a wide simulation analysis we investigate the behavior of the model proposed and study the effects of default contagion on the loss distribution of a portfolio of bank loans. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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