2006/09/20 by J. P. L. Hatchett, Hatchett, J. P. L., Reimer Kühn +2
Business, Management and Accounting · Economics, Econometrics and Finance · Physics and Astronomy · #Banking stability, regulation, efficiency #Corporate Finance and Governance #Credit Risk and Financial Regulations #FOS: Economics and business #FOS: Physical sciences #Physics and Society (physics.soc-ph) #Risk Management (q-fin.RM) #physics.soc-ph #q-fin.RM
paper · pdf · doi:10.48550/arxiv.physics/0609164
11 pages, 3 figures
arxiv created 2006/09/20 · openalex publication_date 2006/09/20 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study a simple, solvable model that allows us to investigate effects of credit contagion on the default probability of individual firms, in both portfolios of firms and on an economy wide scale. While the effect of interactions may be small in typical (most probable) scenarios they are magnified, due to feedback, by situations of economic stress, which in turn leads to fatter tails in loss distributions of large loan portfolios.