In this contibution the authors propose a contagion model for bank loan portfolios that takes into account both a macroeconomic component and a firm-specific microeconomic component due to the counterparty risk. The macroeconomic effect is assumed dependent on a few economic factors while the microeconomic mechanism of propagation is due to the business relations, explicitly modeled through the client network. A wide Monte Carlo simulation analysis is carried out in order to study the main festures of the model.

Counterparty risk: a credit contagion model for a bank loan portfolio

BARRO, Diana;BASSO, Antonella
2005-01-01

Abstract

In this contibution the authors propose a contagion model for bank loan portfolios that takes into account both a macroeconomic component and a firm-specific microeconomic component due to the counterparty risk. The macroeconomic effect is assumed dependent on a few economic factors while the microeconomic mechanism of propagation is due to the business relations, explicitly modeled through the client network. A wide Monte Carlo simulation analysis is carried out in order to study the main festures of the model.
2005
2 n. 4
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/27175
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