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Volume 2018, Article ID 6076173, 15 pages
Research Article

Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory

1Computational Science Lab, University of Amsterdam, Science Park 904, 1098XH Amsterdam, Netherlands
2Quantitative Analytics, ING Bank, Foppingadreef 7, 1102BD Amsterdam, Netherlands

Correspondence should be addressed to Ioannis Anagnostou; ln.avu@uotsongana.i

Received 20 September 2017; Accepted 29 November 2017; Published 8 January 2018

Academic Editor: Thiago C. Silva

Copyright © 2018 Ioannis Anagnostou et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Citations to this Article [4 citations]

The following is the list of published articles that have cited the current article.

  • Wesley Mendes-Da-Silva, “Introduction: The Context of Financial Innovations,” Individual Behaviors and Technologies for Financial Innovations, pp. 3–23, 2018. View at Publisher · View at Google Scholar
  • Zebin Zhao, Dongling Chen, Luqi Wang, and Chuqiao Han, “Credit Risk Diffusion in Supply Chain Finance: A Complex Networks Perspective,” Sustainability, vol. 10, no. 12, pp. 4608, 2018. View at Publisher · View at Google Scholar
  • Mariya Gubareva, “Weight of the Default Component of CDS Spreads: Avoiding Procyclicality in Credit Loss Provisioning Framework,” Complexity, vol. 2019, pp. 1–19, 2019. View at Publisher · View at Google Scholar
  • Jianjia Wang, Chenyue Lin, and Yilei Wang, “Thermodynamic Entropy in Quantum Statistics for Stock Market Networks,” Complexity, vol. 2019, pp. 1–11, 2019. View at Publisher · View at Google Scholar