{
  "annotation_id": "c232e301-42a4-4cba-9ed3-b6eae7457ba3",
  "date_created": "2026-03-02T18:01:04.276000Z",
  "date_modified": "2026-03-02T18:01:04.276000Z",
  "file_hash": "689e6ae34479d7d3baa62da0d0d222bb4fa3cfd791791aef2508676c3d43fa6e",
  "private": false,
  "record": {
    "abstract": "We study a credit risk model which captures effects of economic interactions\non a firm\u0027s default probability. Economic interactions are represented as a\nfunctionally defined graph, and the existence of both cooperative, and\ncompetitive, business relations is taken into account. We provide an analytic\nsolution of the model in a limit where the number of business relations of each\ncompany is large, but the overall fraction of the economy with which a given\ncompany interacts may be small. While the effects of economic interactions are\nrelatively weak in typical (most probable) scenarios, they are pronounced in\nsituations of economic stress, and thus lead to a substantial fattening of the\ntails of loss distributions in large loan portfolios. This manifests itself in\na pronounced enhancement of the Value at Risk computed for interacting\neconomies in comparison with their non-interacting counterparts.",
    "arxiv_id": "physics/0512155",
    "authors": [
      "J. P. L. Hatchett",
      "R. Kuehn"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.RM"
    ],
    "doi": "10.1088/0305-4470/39/10/001",
    "title": "Effects of Economic Interactions on Credit Risk",
    "url": "https://arxiv.org/abs/physics/0512155"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "6bfac380-2894-4487-a5e2-46b2881a0cd7",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}