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Cyclical Correlations, Credit Contagion, and Portfolio Losses · Study

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PreprintCyclical Correlations, Credit Contagion, and Portfolio Losses

Stefan Weber2003

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Preprintgreen2003

Cyclical Correlations, Credit Contagion, and Portfolio Losses

Stefan Weber · Kay Giesecke

51 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Credit Risk and Financial Regulations

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References

2000Financial Contagion 2000A comparative analysis of current credit risk models 1992Contagion and competitive intra-industry effects of bankruptcy announcements 2003Interbank Exposures: Quantifying the Risk of Contagion 2001Counterparty Risk and the Pricing of Defaultable Securities 1994Contagion and Bank Failures During the Great Depression: The June 1932 Chicago Banking Panic 1994Bank contagion: A review of the theory and evidence 1998Portfolio Credit Risk

Cited by

2012Derivatives and credit contagion in interconnected networks 2008Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approach 2004Credit risk enhancement in a network of interdependent firms 2004A Simple Model of Credit Contagion 2006Stochastic cascades, credit contagion, and large portfolio losses 2013Counterparty Contagion in Context: Contributions to Systemic Risk

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Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations51

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.369660

openalex_workW2079548532

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2023Modelling Dynamic Portfolio Credit Risk

2003The Quantification of Operational Risk