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A network of business relations to model counterparty risk

By Diana Barro and Antonella Basso

Abstract

This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model. This network is used in a credit risk model in order to take into account the counterparty risk and describe the resulting contagion effects.credit risk contagion, networks, counterparty risk, entropy spatial models

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Citations

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