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A Simple Model of Credit Contagion
Year Of Publication: 2004
Month Of Publication: January
Pages: 53
Download Count: 1229
View Count: 7994
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 1-1-2004
Publisher: Administrator
Summary
We propose a simple and implementable model of credit contagion where we in- clude macro- and microstructural dependencies among the debtors within a credit portfolio. We show that, even for diversified portfolios, moderate microstructural dependencies have already a significant impact on the tails of the loss distribution. This impact increases dramatically for less diversified microstructures. Since the inclusion of microstructural dependencies acts on the tails, the choice of an appropriate risk measure for credit risk management is a delicate task.
Author(s)
Egloff, Daniel Sign in to follow this author
Leippold, Markus Sign in to follow this author
Vanini, Paolo Sign in to follow this author
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