Infectious defaults
提出一个传染模型来解释大规模违约证券组合中的集中风险，作为穆迪多样性评分分析的纯概率替代方案，参数简洁且易于模拟。
Mark Davis and Violet Lo introduce a contagion model to account for concentration risk in large portfolios of defaultable securities, which provides a purely probabilistic alternative to Moody's diversity score analysis, with parsimonious parametrization and easy simulation.