Dynamic Investment and Counterparty Risk

Bo, Lijun; Capponi, Agostino

doi:10.1007/s00245-016-9364-2

Cited by 7 publications

(1 citation statement)

References 17 publications

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“…The dynamics of the portfolio of trade receivables can be associated with a space of phases described by a Hamiltonian function [4]. When payments are regular, the Cartesian coordinates are measured according to the trend of pairs of monetary business cycles in the financial year.…”

Section: Dynamics Of the Trade Portfoliomentioning

confidence: 99%

Economic system entanglement on intra-firm trade portfolios: the impact of counterparty credit ratings on business-to-business credit dynamics

Desogus¹,

Casu²

2021

imf

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In the last five years, Italy has seen a noticeable and steady increase in the supply of trade credit, granting of extensions, and general systemic business-to-business financial support. Focusing on system entanglement, this paper examines the impact in Italy of bank valuations of creditworthiness and credit intermediation on intra-firm trade portfolio dynamics. We further consider the impacts of exogenous shocks to the economy and other disruptive events on payment regularity and risks of insolvency in intra-firm transactions. Mapping portfolio dynamics to a quantum super-system with a Hamiltonian space of phases, we demonstrate that the performance of intra-firm portfolios depends concurrently on bank valuations and that system entanglement allows us to examine the extent to which economic disruptions shift portfolio dynamics from their state of equilibrium.

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Section: Dynamics Of the Trade Portfoliomentioning

confidence: 99%