In this contribution we analyze two models for the joint probability of defaults of dependent credit risks that are based on a generalisation of Polya urn scheme. In particular we focus our attention on the problems related to the maximum likelihood estimation of the parameters involved, and to...

In this work we analyze the effects of credit contagion on the credit quality of a portfolio of bank loans issued to SMEs. To this aim we start from the discrete time model proposed in Barro and Basso (2005), that considers the counterparty risk generated by the business relations in a network...