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Credit contagion and credit risk

[journal article]

Hatchett, Jon; Kuehn, Reimer

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Please use the following Persistent Identifier (PID) to cite this document:http://nbn-resolving.de/urn:nbn:de:0168-ssoar-221335

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Abstract We study a simple, solvable model that allows us to investigate effects of credit contagion on the default probability of individual firms, in both portfolios of firms and on an economy wide scale. While the effect of interactions may be small in typical (most probable) scenarios they are magnified, due to feedback, by situations of economic stress, which in turn leads to fatter tails in loss distributions of large loan portfolios.
Classification Financial Planning, Accountancy; Economic Statistics, Econometrics, Business Informatics
Method theory application
Free Keywords Contagion; Credit Risk; Credit Models; Correlation Modelling
Document language English
Publication Year 2009
Page/Pages p. 373-382
Journal Quantitative Finance, 9 (2009) 4
DOI http://dx.doi.org/10.1080/14697680802464162
Status Postprint; reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)
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