Delayed Default Dependency and Default Contagion
نویسندگان
چکیده
منابع مشابه
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Much of the existing literature on default contagion assumes a direct causal relationships between two obligors’ defaults. In this paper we present a model in which default contagion arises without causal links solely from information effects if investors are imperfectly informed about some common factors affecting the true riskiness of the obligors. We model this effect in a simple extension o...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.980684