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.
|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|