Default Contagion with Domino Effect, A First Passage Time Approach

Jiro Akahori and Hai Ha Pham

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

Date: 2017-08
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1708.08411

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