Credit contagion and credit risk

Hatchett, Jon; Kuehn, Reimer

[journal article]

dc.contributor.author	Hatchett, Jon	de
dc.contributor.author	Kuehn, Reimer	de
dc.date.accessioned	2011-02-23T03:51:00Z	de
dc.date.accessioned	2012-08-30T07:09:58Z
dc.date.available	2012-08-30T07:09:58Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/22133
dc.description.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.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Contagion; Credit Risk; Credit Models; Correlation Modelling
dc.title	Credit contagion and credit risk	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Quantitative Finance	de
dc.source.volume	9	de
dc.publisher.country	GBR
dc.source.issue	4	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Financial Planning, Accountancy	en
dc.subject.classoz	Finanzwirtschaft, Rechnungswesen	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-221335	de
dc.date.modified	2011-03-17T11:36:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	373-382
internal.identifier.classoz	10905
internal.identifier.classoz	1090406
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/14697680802464162	de
dc.subject.methods	Theorieanwendung	de
dc.subject.methods	theory application	en
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.methods	15
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics
Finanzwirtschaft, Rechnungswesen
Financial Planning, Accountancy

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