Cossin, Didier; Schellhorn, Henry - In: Management Science 53 (2007) 10, pp. 1604-1617
We develop a structural model of credit risk in a network economy, where any firm can lend to any other firm, so that each firm is subject to counterparty risk either from direct borrowers or from remote firms in the network. This model takes into account the role of each firm's cash management....