A Simple Model of Credit Contagion

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The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application (2010, unknown): “12 This is a standard assumption in credit risk models implemented for day to day risk management, even though recent research has shown that it does not necessarily hold (e.g. see Egloff et al., 2007).”
IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (2012, background): “consequences in forecasting, in option pricing, in portfolio risk management, and even in the credit risk management, since a default of a firm is interpretable as a jump in the firm value and contemporaneous defaults give a co-jump, implying default dependence (contagion, [14]).”
Bayesian inference for generalized linear mixed models of portfolio credit risk (2007, background): “A second source of dependence is direct business liaisons between obligors, so-called contagion, meaning that a company may itself face increased risk if one of its major customers defaults; see for instance Egloff et al. (2004).”
QUANTILE ESTIMATION WITH ADAPTIVE IMPORTANCE SAMPLING (2010, unknown): “, [11]), in which the default indicators are modeled as Yi = 1{Ai∈(−∞,θi ]}.”