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Default Contagion with Domino Effect , A First Passage Time Approach

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  • Jiro Akahori
  • Hai Ha Pham

Abstract

The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.

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  • Jiro Akahori & Hai Ha Pham, 2017. "Default Contagion with Domino Effect , A First Passage Time Approach," Papers 1708.08411, arXiv.org.
    • Handle: RePEc:arx:papers:1708.08411
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    File URL: http://arxiv.org/pdf/1708.08411
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    References listed on IDEAS

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    1. Leland, Hayne E & Toft, Klaus Bjerre, 1996. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Journal of Finance, American Finance Association, vol. 51(3), pages 987-1019, July.
    2. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2009. "A framework for assessing the systemic risk of major financial institutions," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2036-2049, November.
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