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ArticleCredit contagion and aggregate losses

Kay Giesecke2005

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Articlegreen2005

Credit contagion and aggregate losses

Kay Giesecke · Stefan Weber

172 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Banking stability, regulation, efficiency Credit Risk and Financial Regulations

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References

2000Financial Contagion 1999Modeling Term Structures of Defaultable Bonds 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1997A Markov Model for the Term Structure of Credit Risk Spreads 2000Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank 1998On cox processes and credit risky securities 2000Sulfur Dioxide Control by Electric Utilities: What Are the Gains from Trade?2003A risk-factor model foundation for ratings-based bank capital rules

Cited by

2010The Economic Crisis is a Crisis for Economic Theory 2011Firm-network characteristics and economic robustness to natural disasters 2013Contagion and risk-sharing on the inter-bank market 2012A network model of financial system resilience 2012Rollover risk, network structure and systemic financial crises 2007A simple model of credit contagion

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Year2005

Typearticle

Published2005-06-23

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations172

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jedc.2005.01.004

openalex_workW1557955808

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2008

PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES

2015Networks, Shocks, and Systemic Risk