Sequential defaults and incomplete information
- 1 October 2004
- journal article
- Published by Infopro Digital Services Limited in Journal of Risk
- Vol. 7 (1) , 1-26
- https://doi.org/10.21314/jor.2004.100
Abstract
We propose a multi-firm first-passage credit model in which investors have incomplete information. In this model, investors..., Original Research, CounterpartyKeywords
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