Cousin, Areski; Dorobantu, Diana; Rullière, Didier - In: Quantitative Finance 13 (2013) 3, pp. 407-420
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of <italic>n</italic> firms that may default directly or may be infected by other defaulting firms (a domino effect also being...