Dangerous liasons and hot customers for banks
Journal article
Cerqueti, R., Quaranta, A.G. and Pampurini, F. (2022). Dangerous liasons and hot customers for banks. Review of Quantitative Finance and Accounting. https://doi.org/10.1007/s11156-022-01039-x
Authors | Cerqueti, R., Quaranta, A.G. and Pampurini, F. |
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Abstract | Understanding the correlation between different customers’ loss of creditworthiness is crucial to credit risk analysis. This paper describes a novel method, based on a weighted network model, in which a set of firms, customers of the same bank, represent the nodes while their links and weights derive from the total transaction amounts. We explore the contagion mechanism deriving from the transmission of the difficulties of one customer to other clients of the same bank so highlighting areas where contagion risk is higher. We use a real proprietary data set provided by a bank to illustrate the proposed approach. |
Keywords | Credit risk, Systemic risk, Financial network models, Contagion |
Year | 2022 |
Journal | Review of Quantitative Finance and Accounting |
Publisher | Springer |
ISSN | 0924-865X |
Digital Object Identifier (DOI) | https://doi.org/10.1007/s11156-022-01039-x |
Publication dates | |
Online | Jan 2022 |
Publication process dates | |
Accepted | 04 Mar 2022 |
Deposited | 23 Mar 2022 |
Publisher's version | License File Access Level Open |
Permalink -
https://openresearch.lsbu.ac.uk/item/8z748
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