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Cited by 435

The DOI matches its Crossref record; 25 of the 25 references it cites were found in a registry or an index.

Credit Contagion from Counterparty Risk

JORION, PHILIPPE, ZHANG, GAIYAN·2009·The Journal of Finance
DOI 10.1111/j.1540-6261.2009.01494.x
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Abstract

Standard credit risk models cannot explain the observed clustering of default, sometimes described as “credit contagion.” This paper provides the first empirical analysis of credit contagion via direct counterparty effects. We find that bankruptcy announcements cause negative abnormal equity returns and increases in CDS spreads for creditors. In addition, creditors with large exposures are more likely to suffer from financial distress later. This suggests that counterparty risk is a potential additional channel of credit contagion. Indeed, the fear of counterparty defaults among financial institutions explains the sudden worsening of the credit crisis after the Lehman bankruptcy in September 2008.

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Crossref · 10.1111/j.1540-6261.2009.01494.x

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Metadata

Authors
JORION, P., & ZHANG, G.
Venue
The Journal of Finance
Publisher
Wiley
Published
2009-09-28
Volume
64
Issue
5
Pages
2053-2087
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2009.01494.x
OpenAlex
W3123574039
Cited by
435
References
25
FWCI
44.82
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Credit Contagion from Counterparty Risk. https://app.cochat.ai/papers/10.1111/j.1540-6261.2009.01494.x
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JORION, P., & ZHANG, G. (2009). Credit Contagion from Counterparty Risk. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2009.01494.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.