AbstractMark Davis and Violet Lo introduce a contagion model to account for concentration risk in large portfolios of defaultable securities, which provides a purely probabilistic alternative to Moody's diversity score analysis, with parsimonious parametrization and easy simulation.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 1 (2001)
Issue (Month): 4 ()
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