Default Contagion with Domino Effect , A First Passage Time Approach
Mathematical Finance
2017-08-29 v1 Risk Management
Abstract
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
Keywords
Cite
@article{arxiv.1708.08411,
title = {Default Contagion with Domino Effect , A First Passage Time Approach},
author = {Jiro Akahori and Hai Ha Pham},
journal= {arXiv preprint arXiv:1708.08411},
year = {2017}
}