dorsal/arxiv
View SchemaCredit contagion and credit risk
| Authors | J. P. L. Hatchett, R. Kuehn |
|---|---|
| Categories | |
| ArXiv ID | physics/0609164 |
| URL | https://arxiv.org/abs/physics/0609164 |
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.
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"abstract": "We study a simple, solvable model that allows us to investigate effects of\ncredit contagion on the default probability of individual firms, in both\nportfolios of firms and on an economy wide scale. While the effect of\ninteractions may be small in typical (most probable) scenarios they are\nmagnified, due to feedback, by situations of economic stress, which in turn\nleads to fatter tails in loss distributions of large loan portfolios.",
"arxiv_id": "physics/0609164",
"authors": [
"J. P. L. Hatchett",
"R. Kuehn"
],
"categories": [
"physics.soc-ph",
"q-fin.RM"
],
"title": "Credit contagion and credit risk",
"url": "https://arxiv.org/abs/physics/0609164"
},
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