Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | A default system with overspilling contagion |
| Organization Unit | |
| Authors |
|
| Language |
|
| Institution | University of Zurich |
| Series Name | SSRN |
| Number | 3004484 |
| ISSN | 1556-5068 |
| Date | 2017 |
| Abstract Text | In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment evolves autonomously and is not influenced by the history of the default events. We extend the classical literature and allow a default system to have a contagious impact on its environment. In our framework, contagion can either be contained within the default system (i.e., direct contagion from a counterparty to another) or spill from the default system over its environment (indirect contagion). This type of model is of interest whenever one wants to capture within a model possible impacts of the defaults of a class of debtors on the more global economy and vice versa. |
| Free access at | Official URL |
| Official URL | https://ssrn.com/abstract=3004484 |
| Other Identification Number | merlin-id:15018 |
| PDF File |
Download from ZORA
|
| Export |
BibTeX
EP3 XML (ZORA)
|