Credit risk enhancement in a network of interdependent firms

Physica A: Statistical Mechanics and its Applications

Volumn 342, Issue 3-4, 2004, Pages 639-655

  Neu, Peter ^a   Kühn, Reimer ^b  

^a Dresdner Bank AG   (Germany)

^b KING'S COLLEGE LONDON   (United Kingdom)

Author keywords

Capital allocation; Contagion; Correlation; Credit portfolio risk measurement

Indexed keywords

APPROXIMATION THEORY; FINANCE; INDUSTRIAL ECONOMICS; MATHEMATICAL MODELS; STRATEGIC PLANNING;

CAPITAL ALLOCATION; CONTAGION; CREDIT PORTFOLIO RISK MEASUREMENT;

RISK ASSESSMENT;

EID: 4544262887     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.05.062     Document Type: Article

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