Infectious defaults
Authors:
M. Davis a;
V. Lo b
| Affiliations: | a Department of Mathematics, Imperial College, London, SW7 2BZ, UK. |
| b Deutsche Bank AG, 1 Great Winchester Street, London, EC2N 2DB, UK. |
DOI:
10.1080/713665832
Publication Frequency:
8 issues per year
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(English)
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Abstract
Mark Davis and Violet Lo introduce a contagion model to account for concentration risk in large portfolios of defaultable securities, which provides a purely probabilistic alternative to Moody's diversity score analysis, with parsimonious parametrization and easy simulation.
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