Pricing default events: surprise, exogeneity and contagion

DOI10.1016/J.JECONOM.2014.05.005zbMath1311.91186OpenAlexW1965048078MaRDI QIDQ2511807

Christian Gouriéroux, Alain Monfort, Jean-Paul Renne

Publication date: 6 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://crest.science/RePEc/wpstorage/2013-03.pdf

zbMATH Keywords

frailtycontagiondefault intensitycredit derivativecredit spread puzzledefault event

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

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Cites Work

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