Disastrous Defaults

DOI10.1093/ROF/RFAA042OpenAlexW4242740416MaRDI QIDQ5022748

Jean-Paul Renne, Christian Gouriéroux, Sarah Mouabbi, Alain Monfort

Publication date: 19 January 2022

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfaa042

zbMATH Keywords

credit derivativesequilibrium modeldisaster riskdefault dependenciessystemic entities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

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