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摘要翻译：
本文提出了一个信用风险领域的多期传染模型。我们的模型是Davis和Lo的传染性缺省模型的扩展。我们考虑一个由n个企业组成的经济，它们可能直接违约，也可能受到其他违约企业的影响（多米诺骨牌效应也是可能的）。无外部影响的自发违约和传染用不一定独立的伯努利型随机变量来描述。此外，可能需要几次污染才能感染另一家公司。本文计算了依赖上下文中缺省值总数的概率分布函数。我们还给出了一个简单的递归算法来计算这种分布在可交换性上下文中。数值应用说明了直接默认值和污染之间的互换性对从默认值总数定律计算出的不同指标的影响。然后，我们检查了危机之前和危机期间iTraxx数据上的模型校准。动态特性和传染效应似乎对模型性能有显著影响，尤其是在最近的困难时期。
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英文标题：
《An extension of Davis and Lo's contagion model》
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作者：
Didier Rulli\`ere (SAF), Diana Dorobantu (SAF), Areski Cousin (SAF)
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
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 n firms which may default directly or may be infected by other defaulting firms (a domino effect being also possible). The spontaneous default without external influence and the infections are described by not necessarily independent Bernoulli-type random variables. Moreover, several contaminations could be required to infect another firm. In this paper we compute the probability distribution function of the total number of defaults in a dependency context. We also give a simple recursive algorithm to compute this distribution in an exchangeability context. Numerical applications illustrate the impact of exchangeability among direct defaults and among contaminations, on different indicators calculated from the law of the total number of defaults. We then examine the calibration of the model on iTraxx data before and during the crisis. The dynamic feature together with the contagion effect seem to have a significant impact on the model performance, especially during the recent distressed period.
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PDF链接：
https://arxiv.org/pdf/0904.1653
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