Default Contagion with Domino Effect, A First Passage Time Approach
Jiro Akahori () and
Hai Ha Pham
Papers from arXiv.org
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1708.08411 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1708.08411
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().