An extension of Davis and Lo's contagion model

DOI10.1080/14697688.2012.727015zbMath1280.91180arXiv0904.1653OpenAlexW2028533440MaRDI QIDQ5746773

Areski Cousin, Diana Dorobantu, Didier Rullière

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.1653

zbMATH Keywords

credit risksystemic riskcontagion models

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (2)

Correlated risks vs contagion in stochastic transition models ⋮ Moment estimates in the first Borel-Cantelli lemma with applications to mean deviation frequencies

Cites Work

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