Credit contagion and credit risk

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dc.creatorHatchett, J. P. L.
dc.creatorKuehn, R.
dc.date2006-09-20
dc.date.accessioned2026-07-07T12:07:52Z
dc.date.available2026-07-07T12:07:52Z
dc.descriptionWe 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.
dc.description11 pages, 3 figures
dc.identifierhttps://arxiv.org/abs/physics/0609164
dc.identifierhttp://arxiv.org/abs/physics/0609164
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209123
dc.subjectPhysics and Society
dc.subjectRisk Management
dc.titleCredit contagion and credit risk
dc.typetext

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