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.
Autori: | ||
Data di pubblicazione: | 2005 | |
Titolo: | Counterparty risk: a credit contagion model for a bank loan portfolio | |
Rivista: | THE ICFAI JOURNAL OF FINANCIAL RISK MANAGEMENT | |
Volume: | 2 n. 4 | |
Appare nelle tipologie: | 2.1 Articolo su rivista |
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File | Descrizione | Tipologia | Licenza | |
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FinalContagionBarroBassoCredit2005.pdf | Documento in Pre-print | Accesso chiuso-personale | Riservato |
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