信用传染与信用风险
Credit contagion and credit risk
摘要：
我们研究了一个简单的，可解的模型，使我们能够调查信用传染对个别公司的违约概率的影响，在投资组合的公司和经济范围内。虽然在典型的（最有可能的）情景中，相互作用的影响可能很小，但由于反馈，它们会被经济压力的情况放大，这反过来又导致大型贷款组合的损失分布出现厚尾。
英文摘要：
We study a simple, solvable model that allows us to investigate effects of credit contagion on the default probability of individual firms, in both portfolios of firms and on an economy wide scale. While the effect of interactions may be small in typical (most probable) scenarios they are magnified, due to feedback, by situations of economic stress, which in turn leads to fatter tails in loss distributions of large loan portfolios.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
