Cyclical correlations, credit contagion, and portfolio losses
By Kay Giesecke, Stefan Weber. 2004
217 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/571b20f8fe636fb70aae777f2ad093eee4f62544
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Prasanna Gai
- S. Kapadia
- Yili Lian
- Gaiyan Zhang
- Philippe Jorion
- Lisa R. Goldberg
- Kay Giesecke
- Co-Pierre Georg
In Finance
- Prasanna Gai
- Kay Giesecke
- S. Kapadia
- Philippe Jorion
- Gaiyan Zhang
- Lisa R. Goldberg
- Eymen Errais
- Yili Lian
Citations in the corpus
- Financial distress and customer-supplier relationships (2017, background): “First, major customers in financial distress may fail to fulfill their obligations to supplier firms, which increases the cash flow risks and default risks of their suppliers (Jarrow and Yu, 2001; Giesecke and Weber, 2004).”
- A Network Model of Financial System Resilience (2013, unknown): “…complements recent work that draws on techniques from network science and statistical physics to study credit contagion and model credit risk losses in banks’ portfolios (Giesecke and Weber (2004, 2006); Horst (2007); Hatchett and Kühn (2009); Gai and Kapadia (2010); May and Arinaminpathy (2010)).”
- Business and default cycles for credit risk (2003, unknown): “Making the standard distinction between idiosyncratic and systematic risk, it is the systematic risk that is most important at a portfolio level, see for example Jarrow, Lando, and Yu (2000), Frey and McNeil (2001), Lucas, Klaassen, Spreij, and Straetmans (2001), and Giesecke and Weber (2003).”
- Pricing Credit from the Top Down with Affine Point Processes (2008, background): “An example is a doubly stochastic setting in which firm intensities are driven by common factors, as in Duffie and Garleanu (2001), Mortensen (2005), di Graziano and Rogers (2006) and Hurd and Kuznetsov (2006). Conditional on the factors, inter-arrival times are independent so credit derivatives val”
- Contagion in financial networks (2010, methodology): “Giesecke and Weber (2004) study contagion using the voter model of interacting particle systems.”
- Credit Contagion from Counterparty Risk (2009, background): “Counterparty risk has been analyzed in a theoretical framework by Davis and Lo (2001), Jarrow and Yu (2001), Giesecke and Weber (2004), and Boissay (2006).”