A network of business relations to model counterparty risk
Diana Barro () and
No 171, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia
This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model. This network is used in a credit risk model in order to take into account the counterparty risk and describe the resulting contagion effects.
Keywords: credit risk contagion; networks; counterparty risk; entropy spatial models (search for similar items in EconPapers)
JEL-codes: D61 C63 (search for similar items in EconPapers)
Pages: 10 pages
New Economics Papers: this item is included in nep-net, nep-rmg and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://virgo.unive.it/wpideas/storage/2008wp171.pdf First version, 2008 (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:vnm:wpaper:171
Access Statistics for this paper
More papers in Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia Contact information at EDIRC.
Bibliographic data for series maintained by Marco LiCalzi ().