Economics at your fingertips  

Default Contagion with Domino Effect, A First Passage Time Approach

Jiro Akahori () and Hai Ha Pham

Papers from

Abstract: The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.

Date: 2017-08
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Papers from
Bibliographic data for series maintained by arXiv administrators ().

Page updated 2022-05-17
Handle: RePEc:arx:papers:1708.08411