Dangerous liasons and hot customers for banks

Roy Cerqueti, Francesca Pampurini*, Annagiulia Pezzola, Anna Grazia Quaranta

*Autore corrispondente per questo lavoro

Risultato della ricerca: Contributo in rivistaArticolo in rivista

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.
Lingua originaleEnglish
pagine (da-a)65-89
Numero di pagine25
RivistaReview of Quantitative Finance and Accounting
DOI
Stato di pubblicazionePubblicato - 2022

Keywords

  • Contagion
  • Credit risk
  • Financial network models
  • Systemic Risk

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