Credit contagion and aggregate losses
type: Item
instance of: scholarly article
title: Credit contagion and aggregate losses
zbMATH Open document ID: 1200.91299
author: Kay Giesecke
author: Stefan Weber
publication date: 2008-11-25T00:00:00Z
full work available at URL: http://edoc.hu-berlin.de/18452/4175
Mathematics Subject Classification ID: 91G50
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 5373162
zbMATH Keywords: credit contagion
zbMATH Keywords: business partner network
zbMATH Keywords: credit portfolio loss distribution
zbMATH Keywords: portfolio loss volatility
zbMATH Keywords: voter model
MaRDI profile type: Publication
OpenAlex ID: W1557955808
cites work: Recursive valuation of defaultable securities and the timing of resolution of uncertainty
cites work: Gibbs measures and phase transitions
cites work: On Cox processes and credit risky securities
cites work: Q5185817
cites work: Q4265490
cites work: Renormalization of the voter model in equilibrium
DOI: 10.1016/J.JEDC.2005.01.004
published in: Journal of Economic Dynamics and Control
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description: scientific article; zbMATH DE number 5373162