Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22226
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dc.contributor.authorGiesecke, Kayen_US
dc.contributor.authorWeber, Stefanen_US
dc.date.accessioned2009-01-29T14:54:54Z-
dc.date.available2009-01-29T14:54:54Z-
dc.date.issued2003en_US
dc.identifier.piurn:nbn:de:kobv:11-10049877-
dc.identifier.urihttp://hdl.handle.net/10419/22226-
dc.description.abstractWe model aggregate credit losses on large portfolios of financial positionscontracted with firms subject to both cyclical default correlationand direct default contagion processes. Cyclical correlation is due tothe dependence of firms on common (macro-) economic factors; creditcontagion phenomena are associated with the local interaction of firmswith their business partners. We provide an explicit normal approximationof the distribution of total portfolio losses, which is the keyto the measurement and management of aggregated credit loss risk.Based on this result we quantify the relation between the variabilityof global economic fundamentals, strength of local interaction betweenfirms, and the fluctuation of portfolio losses. In particular, we find thatcyclical oscillations in fundamentals dominate average portfolio losses,while local firm interaction and the associated contagion processes causeadditional fluctuations of losses around their average. The strength ofthe contagion-induced loss variability and hence the degree of extremeloss risk depends on the complexity of the business partner network, arelation that was recently confirmed by empirical studies.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aDiscussion papers of interdisciplinary research project 373 |x2003,11en_US
dc.subject.ddc330en_US
dc.subject.keywordcyclical correlationen_US
dc.subject.keywordcredit contagionen_US
dc.subject.keywordportfolio lossesen_US
dc.subject.keywordvoter modelen_US
dc.subject.keywordBernoulli mixture modelen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwKonjunkturen_US
dc.subject.stwKorrelationen_US
dc.subject.stwInterindustrielle Verflechtungen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwTheorieen_US
dc.titleCyclical correlations, credit contagion, and portfolio lossesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn379245477en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb373:200311-

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