Infectious defaults

M. Davis and V. Lo

Quantitative Finance, 2001, vol. 1, issue 4, 382-387

Abstract: Mark Davis and Violet Lo introduce a contagion model to account for concentration risk in large portfolios of defaultable securities, which provides a purely probabilistic alternative to Moody's diversity score analysis, with parsimonious parametrization and easy simulation.

Date: 2001
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DOI: 10.1080/713665832

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