A credit contagion model for the dynamics of the rating transitions in a SME bank loan portfolio
Year of publication: |
2008-04
|
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Authors: | Basso, Antonella ; Gusso, Riccardo |
Institutions: | Dipartimento di Matematica Applicata, Università Ca' Foscari Venezia |
Extent: | application/pdf |
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Series: | Working Papers. - ISSN 1828-6887. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 162 17 pages |
Classification: | G33 - Bankruptcy; Liquidation ; G21 - Banks; Other Depository Institutions; Mortgages ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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