Auflistung Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 nach Schlagwort "voter model"
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2002-09-10BuchCredit Contagion and Aggregate Losses Credit 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 ...
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2003-01-17BuchCyclical Correlations, Credit Contagion, and Portfolio Losses 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 ...