the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

Export citation to:
- Text (plain)
- BibTeX

Credit Contagion and Credit Risk

by Jonathan Hatchett of Hymans Robertson LLP, and
Reimer Kühn of King's College London

September 20, 2006

Abstract: 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.

PACS: 02.50.-r, 05.40.-a, 89.65.Gh, 89.75.Da.

Published in: Quantitative Finance, Vol. 9, No. 4, (June 2009), pp. 373-382.

Books Referenced in this paper:  (what is this?)

Download paper (165K PDF) 11 pages