Measuring the covariance risk of consumer debt portfolios

DOI10.1016/J.JEDC.2019.05.005zbMath1458.62249OpenAlexW2972761065WikidataQ127870775 ScholiaQ127870775MaRDI QIDQ2002659

Carlos Madeira

Publication date: 12 July 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2019.05.005

zbMATH Keywords

default riskbusiness cycle fluctuationsconsumer credit

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cites Work

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• The financial accelerator in an evolving credit network
• Leveraged network-based financial accelerator
• Credit chains and bankruptcy propagation in production networks
• Introduction special issue crises and complexity
• Towards a credit network based early warning indicator for crises
• Agent based-stock flow consistent macroeconomics: towards a benchmark model
• Learning and the dynamics of consumer unsecured debt and bankruptcies

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