This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model. This network is used in a credit risk model in order to take into account the counterparty risk and describe the resulting contagion effects.

A network of business relations to model counterparty risk

BARRO, Diana;BASSO, Antonella
2008

Abstract

This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model. This network is used in a credit risk model in order to take into account the counterparty risk and describe the resulting contagion effects.
Working paper 171/2008
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/19648
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