We propose a discrete-time affi ne pricing model that simultaneously allows for (i) the presence of systemic entities by departing from the no-jump condition on the factors'conditional distribution, (ii) contagion effects, (iii) and the pricing of credit events. Our a ffine framework delivers explicit pricing formulas for default-sensitive securities like bonds and credit default swaps (CDS). We estimate a multi-country version of the model and address economic questions related to the pricing of sovereign credit risk. Speci cally, using euro-area data, we explore the in fluence of allowing for the pricing of credit events, we compare frailty and contagion channels, and we extract measures of depreciation-at-default from CDS denominated indifferent currencies.

中文翻译：

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信用风险的仿射建模，信用事件的定价和传染

我们提出了一种离散时间仿射定价模型，该模型同时允许（i）通过脱离因素条件分布的无跳跃条件，（ii）传染效应，（iii）和定价来实现系统实体的存在。信用事件。我们的精细框架为债券和信用违约掉期（CDS）等违约敏感证券提供了明确的定价公式。我们估计了该模型的多国版本，并解决了与主权信用风险定价相关的经济问题。具体来说，我们使用欧元区数据探索允许对信贷事件定价的影响，比较脆弱和传染性渠道，并从以CDS计价的不同货币中提取违约贬值的度量。