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A network of business relations to model counterparty risk

Diana Barro () and Antonella Basso

No 171, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: 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)
New Economics Papers: this item is included in nep-net, nep-rmg and nep-ure
Date: 2008-11
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http://virgo.unive.it/wpideas/storage/2008wp171.pdf First version, 2008 (application/pdf)

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