Electronic Resource
Bradford
:
Emerald
The @journal of risk finance
6 (2005), S. 208-225
ISSN:
1526-5943
Source:
Emerald Fulltext Archive Database 1994-2005
Topics:
Economics
Notes:
Purpose - This paper seeks to discuss a modeling tool for explaining credit-risk contagion in credit portfolios. Design/methodology/approach - Presents a "collective risk" model that models the credit risk of a portfolio, an approach typical of insurance mathematics. Findings - ACD models are self-exciting point processes that offer a good representation of cascading phenomena due to bankruptcies. In other words, they model how a credit event might trigger other credit events. The model herein discussed is proposed as a robust global model of the aggregate loss of a credit portfolio; only a small number of parameters are required to estimate aggregate loss. Originality/value - Discusses a modeling tool for explaining credit-risk contagion in credit portfolios.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1108/15265940510599829
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