Credit contagion and credit risk
J. P. L. Hatchett, R. Kuehn
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.
Create a lesson
Related papers
Distinct routes to phase transitions in spatial activation systems
Jialu Zhang, Guanyu Zhang, Leyang Xue et al.
District-Level Food Environment Indicators and Social Vulnerability in São Paulo
Pedro Lemes Sixel Lobo, Eric Tokuda, Kuruvilla Joseph Abraham et al.
Prompt Sensitivity of Generative Agents: Evidence from an Epidemic Model
Ross Williams, Niyousha Hosseinichimeh
Giant strongly biconnected components of directed networks: a generating function approach
Minsoo Yang, Reinhard Laubenbacher, Byungjoon Min
(k,n)-core percolation on hypergraphs with anchor nodes
Hoseung Jang, Byungjoon Min, Ginestra Bianconi
The complex relationship between anti-immigrant sentiment and exposure in the Netherlands
Benedikt Meylahn, Tommaso Giommoni, Mike Lees et al.