Torri:1 nX j=1 XjVj >0 ! .(A25) Thus, •Lo–Davis generatessmooth clustering, •Torri generatesdiscrete regime switching

Structural comparison The two models generate dependence in fundamentally different ways: •Lo–Davis:local cumulative contagion viaI C i,n •Torri:global threshold contagion viaI C n

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Identifiability of Contagion Components amid Environmental Fluctuations in Aggregated Default Counts

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Identifiability of Contagion Components amid Environmental Fluctuations in Aggregated Default Counts q-fin.RM · 2026-04-20 · unreviewed · ref 3 · 2 links