Large portfolio losses: A dynamic contagion model

Speaker:  Elena Sartori - Università di Venezia
  Tuesday, November 27, 2012 at 12:30 PM Aula seminari, Vicolo Campofiore 2

In the context of credit risk I present a model that describes the propagation of financial distress in a network of firms linked by business relationships. Thanks to particle systems methodologies, it can be determined the time evolution of the credit quality indicators of the firms and derived the dynamics of a global health statistics. Moreover, the micro-founded approach enables to qualitatively investigate the phenomenon of a credit crisis and to quantify the losses suffered by a bank holding a large credit portfolio.

Title Format  (Language, Size, Publication date)
Paper  pdfpdf (it, 641 KB, 06/11/12)

Programme Director
Silvia Centanni

Publication date
October 11, 2012