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Risk contagion through defaults on trade bills

Author

Listed:
  • Bardos, M.
  • Stili, D.

Abstract

Intercompany credit is a transmission channel for business failure risk. Trade bill payment incidents reveal the interdependent links between sectors and their contagion risk potential when large amounts are involved.

Suggested Citation

  • Bardos, M. & Stili, D., 2006. "Risk contagion through defaults on trade bills," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 06, pages 49-71, Winter.
    • Handle: RePEc:bfr:quarte:2006-2007:06:03
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    Citations

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    Cited by:

    1. Mireille Bardos, 2007. "What is at stake in the construction and use of credit scores?," Computational Economics, Springer;Society for Computational Economics, vol. 29(2), pages 159-172, March.
    2. Frederic Boissay & Reint Gropp, 2007. "Trade Credit Defaults and Liquidity Provision by Firms," Working Paper Series: Finance and Accounting 179, Department of Finance, Goethe University Frankfurt am Main.

    More about this item

    Keywords

    contagion; risk diffusion; matching estimator; default rate; probability of default; defaults; payment incidents; trade bills; intercompany credit; trade credit balance.;
    All these keywords.

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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