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2002-09-10Buch DOI: 10.18452/3523
Credit Contagion and Aggregate Losses
dc.contributor.authorGiesecke, Kay
dc.contributor.authorWeber, Stefan
dc.date.accessioned2017-06-15T21:16:12Z
dc.date.available2017-06-15T21:16:12Z
dc.date.created2005-10-12
dc.date.issued2002-09-10
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4175
dc.description.abstractCredit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on large portfolios of financial positions. The joint dynamics of firms’ credit ratings is modeled by a voter process, which is well-known in the theory of interacting particle systems. We clarify the structure of the equilibrium joint rating distribution using ergodic decomposition. We analyze the quantiles of the portfolio loss distribution and in particular their relation to the degree of model risk. After a proper re-scaling taking care of the heavy tails induced by the contagion dynamics, we provide a normal approximation of both the equilibrium rating distribution and the portfolio loss distribution.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectcredit contagioneng
dc.subjectportfolio losseseng
dc.subjectvoter modeleng
dc.subjectChoquet theoryeng
dc.subjectergodic decompositioneng
dc.subjectre-scalingeng
dc.subject.ddc330 Wirtschaft
dc.titleCredit Contagion and Aggregate Losses
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10049393
dc.identifier.doihttp://dx.doi.org/10.18452/3523
local.edoc.pages34
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2002
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber2002,73

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