A credit contagion model for loan portfolios in a network of firms with spatial interaction
Year of publication: |
2006-11
|
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Authors: | Barro, Diana ; Basso, Antonella |
Institutions: | Dipartimento di Matematica Applicata, Università Ca' Foscari Venezia |
Subject: | credit risk | bank loan portfolios | contagion models | entropy spatial models |
Extent: | application/pdf |
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Series: | Working Papers. - ISSN 1828-6887. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 143 26 pages |
Classification: | G33 - Bankruptcy; Liquidation ; G21 - Banks; Other Depository Institutions; Mortgages ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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