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Credit contagion in a network of firms with spatial interaction

Diana Barro () and Antonella Basso

No 186, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: In this contribution we carried out a wide simulation analysis in order to study the contagion mechanism induced in a portfolio of bank loans by the presence of business relationships among the positions. To this aim we jointly apply a structural model based on a factor approach extended in order to include the presence of microeconomic relationships that takes into account the counterparty risk, and a network model to describe the business connections among interdependent firms. The network of firms is generated resorting to an entropy spatial interaction model.

Keywords: credit risk; bank loan portfolios; contagion models; 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/2008wp186.pdf First version, 2008 (application/pdf)

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Journal Article: Credit contagion in a network of firms with spatial interaction (2010) Downloads
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