Research Article
Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory
Table 2
Rating classification for the test portfolios.
| | Rating | Portfolio A | Portfolio B | | Issuers | % | Issuers | % |
| | AAA | - | 0.00% | 3 | 3.75% | | AA | - | 0.00% | 3 | 3.75% | | A | - | 0.00% | 22 | 27.50% | | BBB | 1 | 5.56% | 39 | 48.75% | | BB | 15 | 83.33% | 9 | 11.25% | | B | 2 | 11.11% | 3 | 3.75% | | CCC/C | - | 0.00% | 1 | 1.25% |
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