This contribution studies the effects of credit contagion on the credit risk of a portfolio of bank loans. To this aim we introduce a model that takes into account the counterparty risk in a network of interdependent firms that describes the presence of business relations among different ¯firms. The location of the ¯rms is simulated with probabilities computed using an entropy spatial interaction model. By means of a wide simulation analysis we use the model proposed to study the effects of default contagion on the loss distribution of a portfolio.
Autori: | |
Data di pubblicazione: | 2006 |
Titolo: | A credit contagion model for loan portfolios in a network of firms with spatial interaction |
Titolo del libro: | Working paper 143/2006 |
Appare nelle tipologie: | 3.1 Articolo su libro |
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