英文标题：
《A default system with overspilling contagion》
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作者：
Delia Coculescu
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最新提交年份：
2017
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英文摘要：
  In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment evolves autonomously and is not influenced by the history of the default events. We extend the classical literature and allow a default system to have a contagious impact on its environment. In our framework, contagion can either be contained within the default system (i.e., direct contagion from a counterparty to another) or spill from the default system over its environment (indirect contagion). This type of model is of interest whenever one wants to capture within a model possible impacts of the defaults of a class of debtors on the more global economy and vice versa.
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中文摘要：
在经典的传染模型中，默认系统是马尔可夫系统，其随机环境的观测具有相互作用的强度。这就要求环境自动演化，并且不受默认事件历史的影响。我们扩展了经典文献，并允许默认系统对其环境产生传染性影响。在我们的框架内，传染既可以在违约系统内控制（即从一个交易对手直接传染给另一个交易对手），也可以从违约系统溢出到其环境中（间接传染）。每当人们想在模型中捕捉一类债务人违约对全球经济的可能影响时，这类模型就很有意义，反之亦然。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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