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The possibility of contagion in currency crises across countries is highly topical, to say the least. Though the phenomenon is widely discussed, and is supported by solid empirical evidence1, construc...
Credit Contagion from Counterparty Risk
Standard credit risk models observed clustering of default credit contagion direct counterparty effects
2011/8/22
Standard credit risk models cannot explain the observed clustering of default, sometimes described as “credit contagion.” This paper provides the first empirical analysis of credit contagion via direc...