Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory
Portfolio credit risk models estimate the range of potential losses due to defaults or deteriorations in credit quality. Most of these models perceive default correlation as fully captured by the dependence on a set of common underlying risk factors. In light of empirical evidence, the ability of su...
Saved in:
Main Authors: | Ioannis Anagnostou, Sumit Sourabh, Drona Kandhai |
---|---|
Format: | Article |
Language: | English |
Published: |
Wiley
2018-01-01
|
Series: | Complexity |
Online Access: | http://dx.doi.org/10.1155/2018/6076173 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
An Entropy Model of Credit Risk Contagion in the CRT Market
by: Tingqiang Chen, et al.
Published: (2015-01-01) -
Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions
by: Tingqiang Chen, et al.
Published: (2018-01-01) -
The Credit Risk Contagion Mechanism of Financial Guarantee Network: An Application of the SEIR-Epidemic Model
by: Guojian Ma, et al.
Published: (2022-01-01) -
Credit Risk Contagion Based on Asymmetric Information Association
by: Shanshan Jiang, et al.
Published: (2018-01-01) -
Dynamics Evolution of Credit Risk Contagion in the CRT Market
by: Tingqiang Chen, et al.
Published: (2013-01-01)