scholarly journals Modeling Credit Contagion via the Updating of Fragile Beliefs

2015 ◽  
Vol 28 (7) ◽  
pp. 1960-2008 ◽  
Author(s):  
Luca Benzoni ◽  
Pierre Collin-Dufresne ◽  
Robert S. Goldstein ◽  
Jean Helwege
Keyword(s):  
Credit Contagion

scholarly journals A simple model of credit contagion

2007 ◽  
Vol 31 (8) ◽  
pp. 2475-2492 ◽  
Author(s):  
Daniel Egloff ◽  
Markus Leippold ◽  
Paolo Vanini
Keyword(s):  
Simple Model ◽  
Credit Contagion

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

2001 ◽  
Vol 04 (06) ◽  
pp. 921-938 ◽  
Author(s):  
MARCO AVELLANEDA ◽  
LIXIN WU
Keyword(s):  
Continuous Time ◽  
Credit Derivatives ◽  
Country Risk ◽  
Continuous Time Model ◽  
Time Model ◽  
Finite State ◽  
Defaultable Securities ◽  
Contagion Model ◽  
Cross Country ◽  
Credit Contagion

Credit contagion means that the credit deterioration of an entity causes the credit deterioration of other entities. In this paper, we build and test a continuous-time model for defaultable securities using a diffusive process for risk-free interest rate, and a finite-state continuous-time Markov process for the correlation of credit. The credit contagion, in particular, is established by relating transition rates of various credit states. Examples of derivative pricing with calibrated credit contagion model are provided. Initial empirical results with the benchmarks of Brady bonds show that our model is a viable new technique for the pricing and risk-managing of credit derivatives.

Information risk and credit contagion

2013 ◽  
Vol 10 (3) ◽  
pp. 116-123 ◽  
Author(s):  
Alex YiHou Huang ◽  
Chiao-Ming Cheng
Keyword(s):  
Information Risk ◽  
Credit Contagion

Credit contagion in the presence of non-normal shocks

2015 ◽  
Vol 37 ◽  
pp. 129-139 ◽  
Author(s):  
Enrique Batiz-Zuk ◽  
George Christodoulakis ◽  
Ser-Huang Poon
Keyword(s):  
Credit Contagion

The Anatomy of Sovereign Credit Contagion

2015 ◽  
Author(s):  
Elena Kalotychou ◽  
Eli M. Remolona ◽  
Eliza Wu
Keyword(s):  
Sovereign Credit ◽  
Credit Contagion
Sign in / Sign up

Export Citation Format

Share Document