Incorporating contagion in portfolio credit risk models using network theory

DOI10.1155/2018/6076173zbMath1380.91138OpenAlexW2782748083MaRDI QIDQ680825

Sumit Sourabh, Drona Kandhai, Ioannis Anagnostou

Publication date: 29 January 2018

Published in: Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/6076173

zbMATH Keywords

correlationnetwork theoryconditional independence frameworkportfolio credit risk models

Mathematics Subject Classification ID

Stochastic network models in operations research (90B15) Credit risk (91G40)

Cites Work

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• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• Credit contagion and aggregate losses
• Leveraging the network: a stress-test framework based on debtrank
• Concentration Risk in Credit Portfolios
• Contagion in financial networks
• Handbook on Systemic Risk

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