PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Credit Contagion and Credit Risk
Jonathan P L Hattchett and Reimer Kuehn
Quantitative Finance Volume 9, pp. 372-383, 2009.


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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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Theory & Algorithms
ID Code:6306
Deposited By:Reimer Kuehn
Deposited On:08 March 2010