Modelling dependent defaults has long been a central issue for credit risk measurement and management. To address this important issue, we introduce a Markovian infectious model to describe the dependent relationship of default processes of credit securities. The central tenant of the proposed...

Defence in depth is a time-tested strategy in some technical fields, such as cybersecurity or nuclear reactor technology. In view of potentially devasting consequences of exponential growth, the implementation of such a strategy is almost self-evident in this case. Less obvious is a formal...