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Credit contagion and credit risk

https://doi.org/10.1080/14697680802464162
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-3-662-03990-8openalex-snapshot
Stochastic Interacting Systems: Contact, Voter and Exclusion Processes
inferredcites →https://doi.org/10.1016/j.jbankfin.2006.10.023openalex-snapshot
A simple model of credit contagion
inferredcites →https://doi.org/10.1016/j.jedc.2005.01.004openalex-snapshot
Credit contagion and aggregate losses
inferredcites →https://doi.org/10.1016/j.physa.2004.05.062openalex-snapshot
Credit risk enhancement in a network of interdependent firms
inferredcites →https://doi.org/10.1016/s0378-4266(99)00054-0openalex-snapshot
A comparative anatomy of credit risk models
inferredcites →https://doi.org/10.1016/s0378-4371(02)01822-8openalex-snapshot
Functional correlation approach to operational risk in banking organizations
inferredcites →https://doi.org/10.1080/14697680500383714openalex-snapshot
On a multivariate Markov chain model for credit risk measurement
inferredcites →https://doi.org/10.1080/713665832openalex-snapshot
Infectious defaults
inferredcites →https://doi.org/10.1088/0305-4470/37/24/001openalex-snapshot
Parallel dynamics of disordered Ising spin systems on finitely connected random graphs
inferredcites →https://doi.org/10.1088/0305-4470/37/25/003openalex-snapshot
Replicated transfer matrix analysis of Ising spin models on small world lattices
inferredcites →https://doi.org/10.1088/0305-4470/37/37/002openalex-snapshot
Analytic solution of attractor neural networks on scale-free graphs
inferredcites →https://doi.org/10.1088/0305-4470/39/10/001openalex-snapshot
Effects of economic interactions on credit risk
inferredcites →https://doi.org/10.1111/0022-1082.00389openalex-snapshot
Counterparty Risk and the Pricing of Defaultable Securities
inferredcites →https://doi.org/10.1111/j.1467-9965.2007.00298.xopenalex-snapshot
CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
inferredcites →https://doi.org/10.1111/j.1540-6261.1974.tb03058.xopenalex-snapshot
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01202.xopenalex-snapshot
Common Failings: How Corporate Defaults Are Correlated
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01330.xopenalex-snapshot
An Empirical Analysis of the Pricing of Collateralized Debt Obligations
inferredcites →https://doi.org/10.1201/9781584889267.ch10openalex-snapshot
Pricing Credit from the Top Down with Affine Point Processes
inferredcites →https://doi.org/10.2139/ssrn.4385160openalex-snapshot
Modelling Dynamic Portfolio Credit Risk
inferredcites →https://doi.org/10.2139/ssrn.483982openalex-snapshot
A Simple Model of Credit Contagion
inferredcites →https://doi.org/10.2307/2978814openalex-snapshot
On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Rollover Risk, Network Structure and Systemic Financial Crises
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The Lehman Brothers Effect and Bankruptcy Cascades
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A Network Model of Financial System Resilience
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A Network Model of Financial System Resilience
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A Counterparty Risk Study of UK Banking Systems
inferred← citeshttps://doi.org/10.2139/ssrn.3132304openalex-extracted
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Systemic Shock Propagation in a Complex System
inferred← citeshttps://doi.org/10.1007/s10687-014-0191-zopenalex-snapshot
Randomly weighted sums of subexponential random variables with application to capital allocation
inferred← citeshttps://doi.org/10.1007/s10955-014-1040-9openalex-snapshot
Systemic Losses Due to Counterparty Risk in a Stylized Banking System
inferred← citeshttps://doi.org/10.1007/s11156-022-01039-xopenalex-snapshot
Dangerous liasons and hot customers for banks
inferred← citeshttps://doi.org/10.1007/s12597-024-00830-9openalex-snapshot
Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
inferred← citeshttps://doi.org/10.1016/j.chaos.2018.12.007openalex-snapshot
Investor behavior, information disclosure strategy and counterparty credit risk contagion
inferred← citeshttps://doi.org/10.1016/j.ejor.2024.09.026openalex-snapshot
Contagion network, portfolio credit risk, and financial crisis
inferred← citeshttps://doi.org/10.1016/j.frl.2024.105061openalex-snapshot
Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment
inferred← citeshttps://doi.org/10.1016/j.jebo.2012.04.006openalex-snapshot
A network model of financial system resilience
inferred← citeshttps://doi.org/10.1016/j.jedc.2012.03.005openalex-snapshot
Rollover risk, network structure and systemic financial crises
inferred← citeshttps://doi.org/10.1016/j.physa.2018.08.116openalex-snapshot
Credit risk contagion coupling with sentiment contagion
inferred← citeshttps://doi.org/10.1016/j.physa.2019.01.018openalex-snapshot
Contagion model on counterparty credit risk in the CRT market by considering the heterogeneity of counterparties and preferential-random mixing attachment
inferred← citeshttps://doi.org/10.1080/03461238.2025.2490120openalex-snapshot
On the joint tail behavior of randomly weighted sums of dependent random variables with applications to risk theory
inferred← citeshttps://doi.org/10.1080/1331677x.2019.1660202openalex-snapshot
Knowledge mapping of credit risk research: scientometrics analysis using CiteSpace
inferred← citeshttps://doi.org/10.1088/1751-8121/ac9165openalex-snapshot
Dynamics of sparse Boolean networks with multi-node and self-interactions
inferred← citeshttps://doi.org/10.1109/icmecg.2010.30openalex-snapshot
A Review of Supply Chain Risk Management: From the Perspective of Default Correlation
inferred← citeshttps://doi.org/10.1140/epjb/e2011-10757-2openalex-snapshot
The Lehman Brothers effect and bankruptcy cascades
inferred← citeshttps://doi.org/10.1140/epjb/e2012-20740-0openalex-snapshot
Derivatives and credit contagion in interconnected networks
inferred← citeshttps://doi.org/10.1155/2018/1843792openalex-snapshot
Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions
inferred← citeshttps://doi.org/10.1155/2018/2929157openalex-snapshot
Credit Risk Contagion Based on Asymmetric Information Association
inferred← citeshttps://doi.org/10.1155/ddns/4959997openalex-snapshot
Credit Risk Cascades in Interfirm Networks: Joint Effects of Business Cycles, Redundant Resources, and Intangible Assets
inferred← citeshttps://doi.org/10.17077/etd.353cz24iopenalex-snapshot
Quantitative analysis of extreme risks in insurance and finance
inferred← citeshttps://doi.org/10.3390/books978-3-03928-499-3openalex-snapshot
Computational Methods for Risk Management in Economics and Finance
inferred← citeshttps://doi.org/10.3390/risks6020042openalex-snapshot
Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations
inferred← citeshttps://doi.org/10.3390/risks6030072openalex-snapshot
Extreme Portfolio Loss Correlations in Credit Risk
inferred← citeshttps://doi.org/10.3934/jimo.2022160openalex-snapshot
Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
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Measurement of Credit Risk of Small and Medium-sized S&T Enterprises in China
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A statistical physics approach to different problems in network theory
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