English, Article edition: An autoregressive conditional duration model of credit-risk contagion Sergio M. Focardi; Frank J. Fabozzi

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Bookmark: http://trove.nla.gov.au/version/8837
Physical Description
  • article
Language
  • English

Edition details

Title
  • An autoregressive conditional duration model of credit-risk contagion
Author
  • Sergio M. Focardi
  • Frank J. Fabozzi
Physical Description
  • article
Notes
  • Purpose – This paper seeks to discuss a modeling tool for explaining credit-risk contagion in credit portfolios. Design/​methodology/​approach – Presents a “collective risk” model that models the credit risk of a portfolio, an approach typical of insurance mathematics. Findings – ACD models are self-exciting point processes that offer a good representation of cascading phenomena due to bankruptcies. In other words, they model how a credit event might trigger other credit events. The model herein discussed is proposed as a robust global model of the aggregate loss of a credit portfolio; only a small number of parameters are required to estimate aggregate loss. Originality/​value – Discusses a modeling tool for explaining credit-risk contagion in credit portfolios
  • Credit, Financial risk
  • RePEc:eme:jrfpps:v:6:y:2005:i:3:p:208-225
Language
  • English
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