A simple model of credit contagion

Journal of Banking and Finance

Volumn 31, Issue 8, 2007, Pages 2475-2492

  Egloff, Daniel ^a   Leippold, Markus ^b,c   Vanini, Paolo ^a,c  

^a Zurich Cantonalbank ^*  (Switzerland)

^b FEDERAL RESERVE BANK OF NEW YORK   (United States)

^c UNIVERSITY OF ZURICH   (Switzerland)

Author keywords

Contagion; Credit portfolio risk management; Macroeconomic and microstructural interdependence

Indexed keywords

EID: 34447626979     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2006.10.023     Document Type: Article

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