Credit contagion and credit risk

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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.
11 pages, 3 figures

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Physics and Society, Risk Management

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http://salesiana.dossiersoluciones.com/handle/123456789/209123

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0609164
 http://arxiv.org/abs/physics/0609164

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arXiv