78 citations · 78 across the 2 of their papers we have counts for
2 papers
q-fin.RM2008
Heterogeneous credit portfolios and the dynamics of the aggregate losses
Paolo Dai Pra, Marco Tolotti
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random e…
q-fin.RM2007★ 78 cited
Large portfolio losses: A dynamic contagion model
Paolo Dai Pra, Wolfgang J. Runggaldier, Elena Sartori +1
Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and qu…