Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Finance Research Letters 11 (2014) 2, pp. 131-139
This paper illustrates how modelling the contagion effect among assets of a given bond portfolio changes the risk perception associated to it. This empirical work is developed in a hybrid credit risk framework that incorporates recovery rate risk. Dependence structures among firms and between...