Accounting

American Intercontinental University (AIU)

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Systemic Risk with Exchangeable Contagion: Application to the European Banking System
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36

February 2023

2015/2016
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all them. All shocks are assumed to be linked by a dependence relationship, that in this paper is assumed to be exchangeable and Archimedean. This approach is able to encompass both systemic risk and contagion, with the Marshall-Olkin pure systemic risk model and ...
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