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- W2949785911 abstract "In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment evolves autonomously and is not influenced by the history of the default events. We extend the classical literature and allow a default system to have a contagious impact on its environment. In our framework, contagion can either be contained within the default system (i.e., direct contagion from a counterparty to another) or spill from the default system over its environment (indirect contagion). This type of model is of interest whenever one wants to capture within a model possible impacts of the defaults of a class of debtors on the more global economy and vice versa." @default.
- W2949785911 created "2019-06-27" @default.
- W2949785911 creator A5028469511 @default.
- W2949785911 date "2017-01-01" @default.
- W2949785911 modified "2023-09-27" @default.
- W2949785911 title "A Default System with Overspilling Contagion" @default.
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- W2949785911 doi "https://doi.org/10.2139/ssrn.3041348" @default.
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