Default and information
In: Journal of economic dynamics & control, Band 30, Heft 11, S. 2281-2303
ISSN: 0165-1889
13 Ergebnisse
Sortierung:
In: Journal of economic dynamics & control, Band 30, Heft 11, S. 2281-2303
ISSN: 0165-1889
In: Journal of Econometrics, Forthcoming
SSRN
In: Journal of economic dynamics & control, Band 30, Heft 5, S. 741-767
ISSN: 0165-1889
Credit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on large portfolios of financial positions. The joint dynamics of firms' credit ratings is modeled by a voter process, which is well-known in the theory of interacting particle systems. We clarify the structure of the equilibrium joint rating distribution using ergodic decomposition. We analyze the quantiles of the portfolio loss distribution and in particular their relation to the degree of model risk. After a proper re-scaling taking care of the heavy tails induced by the contagion dynamics, we provide a normal approximation of both the equilibrium rating distribution and the portfolio loss distribution.
BASE
Credit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on large portfolios of financial positions. The joint dynamics of firms' credit ratings is modeled by a voter process, which is well-known in the theory of interacting particle systems. We clarify the structure of the equilibrium joint rating distribution using ergodic decomposition. We analyze the quantiles of the portfolio loss distribution and in particular their relation to the degree of model risk. After a proper re-scaling taking care of the heavy tails induced by the contagion dynamics, we provide a normal approximation of both the equilibrium rating distribution and the portfolio loss distribution.
BASE
SSRN
In: Mathematical Finance, Band 30, Heft 1, S. 3-46
SSRN
SSRN
Working paper
In: Operations Research, Band 64, Heft 1239-1255
SSRN
In: Journal of economic dynamics & control, Band 35, Heft 8, S. 1340-1357
ISSN: 0165-1889
In: Mathematical Finance, Forthcoming
SSRN
In: NBER Working Paper No. w17854
SSRN
In: NBER Working Paper No. w15848
SSRN