CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS

DOI10.1142/S0219024901001309zbMath1153.91584MaRDI QIDQ3523607

Lixin Wu, Marco Avellaneda

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Markov processcredit contagion modelnon-option instruments

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (4)

On the diversity score: a copula approach ⋮ PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES ⋮ In memoriam: Marco Avellaneda (1955–2022) ⋮ Modelling default contagion using multivariate phase-type distributions

Cites Work

• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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