Contagion through common borrowers
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DOI: 10.1016/j.jfs.2018.10.001
Abstract: We propose a model in which banks are exposed to the risk of contagion through their portfolio of loans. We show that a solvency problem in one bank can be transmitted to another if they… read more here.
Keywords: solvency; contagion common; common borrowers; borrower ... See more keywords