Stochastic cascades, credit contagion, and large portfolio losses

Journal of Economic Behavior and Organization

Volumn 63, Issue 1, 2007, Pages 25-54

  Horst, Ulrich ^a  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Branching processes; Credit contagion; Local interactions; Mean field interaction; Portfolio losses; Power laws; Threshold rules

Indexed keywords

EID: 33847136064     PISSN: 01672681     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jebo.2005.02.005     Document Type: Article

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