IJPAM: Volume 49, No. 4 (2008)

A NETWORK OF BUSINESS RELATIONS TO
MODEL COUNTERPARTY RISK

Diana Barro$^1$, Antonella Basso$^2$
$^{1,2}$Department of Applied Mathematics
Ca' Foscari University of Venice
Dorsoduro 3825/E, Venice, 30123, ITALY
$^1$e-mail: d.barro@unive.it
$^2$e-mail: basso@unive.it


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.

Received: August 14, 2008

AMS Subject Classification: 65C05, 90B99

Key Words and Phrases: credit risk contagion, networks, counterparty risk, entropy spatial models

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2008
Volume: 49
Issue: 4