21 citations · 21 across the 2 of their papers we have counts for
2 papers
q-fin.MF2017
Default Contagion with Domino Effect , A First Passage Time Approach
Jiro Akahori, Hai Ha Pham
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
math.PR2014★ 21 cited
A random shock model with mixed effect, including competing soft and sudden failures, and dependence
Sophie Mercier, H. H. Pham
A system is considered, which is subject to external and possibly fatal shocks, with dependence between the fatality of a shock and the system age. Apart from these shocks, the sys…