Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion

• Alain Monfort

  Alain Monfort

  [email protected]

  Center for Research in Economics and Statistics (CREST), 91120 Palaiseau, France;

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• Fulvio Pegoraro

  Fulvio Pegoraro

  [email protected]

  Center for Research in Economics and Statistics (CREST), 91120 Palaiseau, FranceAutorité de Contrôle Prudentiel et de Résolution (ACPR), Direction d'Etude et d'Analyse des Risques, 75436 Paris, France;

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• Jean-Paul Renne

  Corresponding Author

  Jean-Paul Renne

  [email protected]

  https://orcid.org/0000-0002-0797-2457

  University of Lausanne, Faculté des Hautes Etudes Commerciales (HEC), 1015, Lausanne, Switzerland;

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• Guillaume Roussellet

  Guillaume Roussellet

  [email protected]

  Desautels Faculty of Management, McGill University, Montreal, Quebec H3A 1G5, Canada

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