CREDIT PORTFOLIO RISK; Credit risk contagion - In a recession, company defaults increase due to both the worsening economic environment and the specific links between customers and suppliers. Banks intuitively know that customer default can cause supplier default. The authors provide analytical support for this intuition with a simple extension of the Merton portfolio model.
Year of publication: |
2007
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Authors: | Martin, Duncan ; Marrison, Chris |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 20.2007, 4, p. 90-95
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