Credit contagion and credit risk

Abstract

Click to increase image sizeClick to decrease image size Acknowledgements We thank Peter Neu for useful discussions and helpful remarks. This paper has been prepared by the authors as a commentary on the topic as at September 2006 and is not a definitive analysis of the subject matter covered. It does not constitute advice or guidance in this area and should not be relied upon as such. The paper has not been prepared by J.H. in his capacity as an employee of Hymans Robertson LLP and the views expressed do not represent those of Hymans Robertson LLP. Neither the authors nor Hymans Robertson LLP accept liability for any errors or omissions.