CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS

DOI10.1142/S0219024901001309MaRDI QIDQ3523607zbMATH OpenFDO

Authors Lixin Wu, Marco Avellaneda

Publication date 3 September 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024901001309

zbMATH Keywords

credit contagion modelMarkov processnon-option instruments

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Credit risky securities valuation under a contagion model with interacting intensities
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Cites work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty

Cited in

(7)

• Pricing default events: surprise, exogeneity and contagion
• Pricing and hedging of portfolio credit derivatives with interacting default intensities
• On the diversity score: a copula approach
• Modelling default contagion using multivariate phase-type distributions
• Bankruptcy, Counterparty Risk, and Contagion*
• In memoriam: Marco Avellaneda (1955–2022)
• A default contagion model for pricing defaultable bonds from an information based perspective

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