A credit contagion model for loan portfolios in a network of firms with spatial interaction
| Autor: | Diana Barro, Antonella Basso |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2006 |
| Předmět: |
entropy spatial models
Financial economics credit risk media_common.quotation_subject Spatial interaction credit risk bank loan portfolios contagion models entropy spatial models Contagion models jel:G21 jel:G33 jel:C15 Interdependence Bank loan portfolios Loan Business relations Econometrics Portfolio Entropy (information theory) Business Credit valuation adjustment media_common Credit risk |
| 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 use the model proposed to study the effects of default contagion on the loss distribution of a portfolio. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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