Modeling credit contagion via the updating of fragile beliefs

马甲甲

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【全文链接或数据库名称(选填)】Modeling credit contagion via the updating of fragile beliefsL Benzoni, P Collin-Dufresne… - Review of Financial …, 2015 - Soc Financial Studies
Abstract We propose an equilibrium model for defaultable bonds that are subject to
contagion risk. Contagion arises because agents with “fragile beliefs” are uncertain about
the underlying economic state and its probability. Estimation on sovereign European ...
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