This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction m del. This network is used in a credit risk model in order to take into account the counterparty risk and describe the resulting contagion effects.
Autori: | |
Data di pubblicazione: | 2008 |
Titolo: | A network of business relations to model counterparty risk |
Rivista: | INTERNATIONAL JOURNAL OF PURE AND APPLIED MATHEMATICS |
Volume: | 49 |
Appare nelle tipologie: | 2.1 Articolo su rivista |
File in questo prodotto:
File | Descrizione | Tipologia | Licenza | |
---|---|---|---|---|
IJPAM_2008_A network of business relations to model counterparty risk.pdf | Documento in Post-print | Accesso chiuso-personale | Riservato |
I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.