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Credit contagion and credit risk
[Zeitschriftenartikel]
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,... mehr
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.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Finanzwirtschaft, Rechnungswesen
Methode
Theorieanwendung
Freie Schlagwörter
Contagion; Credit Risk; Credit Models; Correlation Modelling
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
S. 373-382
Zeitschriftentitel
Quantitative Finance, 9 (2009) 4
DOI
https://doi.org/10.1080/14697680802464162
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)