Spatial Interaction Model of Credit Risk Contagion in the CRT Market

Development, Geography, and Economic Theory

E. Willard Miller, Paúl Krugman · Economic Geography · 1998 · 1.3K citations

Economics, Urban Geography, Public Policy +13

A Rational Expectations Model of Financial Contagion

Laura E. Kodres, Matthew Pritsker · The Journal of Finance · 2002 · 1.1K citations · Full text

Empirical Finance, Market Microstructure, Economics +14

Counterparty Risk and the Pricing of Defaultable Securities

Robert A. Jarrow, Fan Yu · The Journal of Finance · 2001 · 666 citations

Empirical Finance, Financial Risk Management, International Financial Crisis +16

Credit Contagion from Counterparty Risk

Philippe Jorion, Gaiyan Zhang · The Journal of Finance · 2009 · 439 citations

Lehman Bankruptcy, Financial Risk, International Financial Crisis +16

Correlated default with incomplete information

Kay Giesecke · Journal of Banking & Finance · 2003 · 261 citations

Information Theory, Incompleteness, Uncertainty Quantification +5