Logo of Humboldt-Universität zu BerlinLogo of Humboldt-Universität zu Berlin
edoc-Server
Open-Access-Publikationsserver der Humboldt-Universität
de|en
Header image: facade of Humboldt-Universität zu Berlin
View Item 
  • edoc-Server Home
  • Schriftenreihen und Sammelbände
  • Fakultäten und Institute der HU
  • Wirtschaftswissenschaftliche Fakultät
  • Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373
  • View Item
  • edoc-Server Home
  • Schriftenreihen und Sammelbände
  • Fakultäten und Institute der HU
  • Wirtschaftswissenschaftliche Fakultät
  • Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
View Item 
  • edoc-Server Home
  • Schriftenreihen und Sammelbände
  • Fakultäten und Institute der HU
  • Wirtschaftswissenschaftliche Fakultät
  • Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373
  • View Item
  • edoc-Server Home
  • Schriftenreihen und Sammelbände
  • Fakultäten und Institute der HU
  • Wirtschaftswissenschaftliche Fakultät
  • Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373
  • View Item
2003-01-17Buch DOI: 10.18452/3570
Cyclical Correlations, Credit Contagion, and Portfolio Losses
Giesecke, Kay
Weber, Stefan
We model aggregate credit losses on large portfolios of financial positions contracted with firms subject to both cyclical default correlation and direct default contagion processes. Cyclical correlation is due to the dependence of firms on common (macro-) economic factors; credit contagion phenomena are associated with the local interaction of firms with their business partners. We provide an explicit normal approximation of the distribution of total portfolio losses, which is the key to the measurement and management of aggregated credit loss risk. Based on this result we quantify the relation between the variability of global economic fundamentals, strength of local interaction between firms, and the fluctuation of portfolio losses. In particular, we find that cyclical oscillations in fundamentals dominate average portfolio losses, while local firm interaction and the associated contagion processes cause additional fluctuations of losses around their average. The strength of the contagion-induced loss variability and hence the degree of extreme loss risk depends on the complexity of the business partner network, a relation that was recently confirmed by empirical studies.
Files in this item
Thumbnail
11.pdf — Adobe PDF — 255.0 Kb
MD5: 1b5f582fcda01f658a9425c7bba65aff
Cite
BibTeX
EndNote
RIS
InCopyright
Details
DINI-Zertifikat 2019OpenAIRE validatedORCID Consortium
Imprint Policy Contact Data Privacy Statement
A service of University Library and Computer and Media Service
© Humboldt-Universität zu Berlin
 
DOI
10.18452/3570
Permanent URL
https://doi.org/10.18452/3570
HTML
<a href="https://doi.org/10.18452/3570">https://doi.org/10.18452/3570</a>