Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs

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The Cross-Section of Credit Risk Premia and Equity Returns (2013, unknown): “Duffie and Singleton, 2003, p. 119f). Combining Equations (2) and (3) yields PDQ t = Φ ( Φ−1(PDP t ) + μ− r σ √ T ) , (5) and we define the asset excess return per unit of volatility λ by λ ≡ μ− r σ √ T = Φ−1(PDQ)− Φ−1(PDP). (6) Note that we have omitted the time t-subscripts because the market pric”
Correlation in Corporate Defaults: Contagion or Conditional Independence? (2010, unknown): “Note that our focus in this paper is not on ’informational’ contagion in prices on equity, corporate bonds or credit default swap premia as studied for example by Collin-Dufresne, Goldstein, and Helwege (2003) and Jorion and Zhang (2008).”
The Determinants of Operational Risk in U.S. Financial Institutions (2011, background): “…to compute a time-varying operational value at risk (VaR) for a U.S. bank during 2004–2006, for which we have complete data on loss severity. there are contagion effects caused by interfirm linkage or information spillover (Jarrow and Yu (2001), Collin-Dufresne, Goldstein, and Helwege (2003)).”