Credit contagion and aggregate losses
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Publication:956527
DOI10.1016/J.JEDC.2005.01.004zbMATH Open1200.91299OpenAlexW1557955808MaRDI QIDQ956527FDOQ956527
Authors: Kay Giesecke, Stefan Weber 
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/4175
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- Renormalization of the voter model in equilibrium
Cited In (47)
- Connectivity, centralisation and `robustness-yet-fragility' of interbank networks
- Contagion effects of UK small business failures: a spatial hierarchical autoregressive model for binary data
- Fluctuation analysis for the loss from default
- A set-valued Markov chain approach to credit default
- Gross Credit Flows
- Systemic risk and default clustering for large financial systems
- Boltzmann games in heterogeneous consensus dynamics
- Heterogeneous credit portfolios and the dynamics of the aggregate losses
- Forecasting credit losses with the reversal in credit spreads
- Nonexistence of Markovian time dynamics for graphical models of correlated default
- Contagion and risk-sharing on the inter-bank market
- Modelling default contagion using multivariate phase-type distributions
- Credit risk contagion in an evolving network model integrating spillover effects and behavioral interventions
- Overview: PCA models and issues
- Default and systemic risk in equilibrium
- Correlated risks vs contagion in stochastic transition models
- A coupled Markov chain approach to credit risk modeling
- The law of large numbers for self-exciting correlated defaults
- Effects of economic interactions on credit risk
- Default and aggregate income
- Firm-network characteristics and economic robustness to natural disasters
- Large portfolio asymptotics for loss from default
- Large portfolio losses in a turbulent market
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- Pricing of cyber insurance contracts in a network model
- Rollover risk, network structure and systemic financial crises
- Graphical models for correlated defaults
- Default clustering in large portfolios: typical events
- Spatial dependence in credit risk and its improvement in credit scoring
- Trade credit and the propagation of corporate failure: an empirical analysis
- Credit contagion and aggregate losses
- Large portfolio losses: A dynamic contagion model
- Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach
- AN URN MODEL FOR CASCADING FAILURES ON A LATTICE
- Valuation of portfolio loss derivatives in an infectious model
- Network effects in default clustering for large systems
- CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS
- Concentration Risk in Credit Portfolios
- Associated credit risk contagion and spillover effect based on supply chain buy-back guarantee contract
- Credit risk propagation in structural-form models
- Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients
- Pricing and hedging of portfolio credit derivatives with interacting default intensities
- Credit Contagion in a Structural Framework
- A default system with overspilling contagion
- Affine point processes: approximation and efficient simulation
- A simple mean field model for social interactions: dynamics, fluctuations, criticality
- Incorporating contagion in portfolio credit risk models using network theory
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