Credit contagion and credit risk
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
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 9 (2009) 4 ; 373-382
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2009
- Creator
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Hatchett, Jon
Kuehn, Reimer
- DOI
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10.1080/14697680802464162
- URN
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urn:nbn:de:0168-ssoar-221335
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:38 AM CEST
Data provider
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Associated
- Hatchett, Jon
- Kuehn, Reimer
Time of origin
- 2009
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