Purpose – This paper seeks to discuss a modeling tool for explaining credit-risk contagion in credit portfolios. Design/methodology/approach – Presents a “collective risk” model that models the credit risk of a portfolio, an approach typical of insurance mathematics. Findings – ACD...

Purpose – This paper seeks to discuss a modeling tool for explaining credit‐risk contagion in credit portfolios. Design/methodology/approach – Presents a “collective risk” model that models the credit risk of a portfolio, an approach typical of insurance mathematics. Findings – ACD...