Credit contagion and aggregate losses

By Kay Giesecke, Stefan Weber. 2006

191 citations recorded by the source corpus.

Subfields: Condensed Matter Physics, Finance

View Paper: https://www.semanticscholar.org/paper/cf5864523e8508f2e56b905caa42b21f7d13f31f

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In Condensed Matter Physics

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Citations in the corpus

PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008, background): “The link between portfolio credit risk and interacting particle systems is explored further in Frey [8], Giesecke and Weber [11] or Horst [15], among others.”
Networks, Shocks, and Systemic Risk (2015, background): “The models of financial interactions studied in a variety of papers (such as Allen and Gale (2000), Giesecke and Weber (2006), Blume et al. (2011), Battiston et al. (2012), Elliott, Golub, and Jackson (2014), Cabrales, Gottardi, and Vega-Redondo (2014) and Acemoglu, Ozdaglar, and Tahbaz-Salehi…”
Contagion and risk-sharing on the inter-bank market (2013, background): “It differs, however, from Giesecke and Weber (2006) who find that161 more connections reduce contagion.”
The Economic Crisis is a Crisis for Economic Theory (2010, background): “Yet, more recently, it has been recognized that networks are, in fact, much more fundamental and pervasive than this and this is well illustrated by Goyal’s (2007) and Jackson’s (2008b) recent books on economic and social networks.”
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)).”
Cyclical correlations, credit contagion, and portfolio losses (2004, methodology): “From a methodological point of view, this provides a reconciliation of the cyclical correlation-based class of Bernoulli mixture models (Frey and McNeil, forthcoming) and an approach focusing exclusively on credit contagion based effects (Giesecke and Weber, 2002).”
Rollover Risk, Network Structure and Systemic Financial Crises (2012, unknown): “3Related work that draws on network techniques to explore contagion also includes Hatchett and Kühn (2009), Giesecke and Weber (2006), Nier et.al.”
Default clustering in large portfolios: Typical events. (2011, methodology): “MR0542340 [13] Giesecke, K. and Weber, S. (2006).”
Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (2010, background): “The model belongs to the class of models with interacting default intensities such as Jarrow & Yu (2001), Davis & Lo (2001), Giesecke & Weber (2006) , Bielecki & Vidozzi (2008), or Herbertsson (2008); it is closely related to the Markov-chain models within the so-called top-down approach to credit ”