A Simple Model of Credit Contagion * Daniel Egloff Zürcher Kantonalbank Markus Leippold † University of Zurich Paolo Vanini University of Southern Switzerland and Zürcher Kantonalbank This Version: September 22, 2005 First Version: June 1, 2003 * The authors thank the seminar participants at the University of Zürich, ETH Zürich, University of Lugano, Deutsche Bank, Zürcher Kantonalbank, the C.R.E.D.I.T 2004 in Venice, the EFA 2004, EFMA 2004, the 2nd International Conference on Credit Risk (Montreal), the SAFE Conference in Verona, and the 11th Global Finance Association (Las Vegas). We furthermore thank Ed Altman, Giovanni Barone-Adesi, Freddy Delbaen, Silvan Ebnöther, Rüdiger Frey, Patrick Gagliardini, Michel Habib, Alexander McNeil, Sandra Sizer-Moore, and Fabio Trojani. Markus Leippold and Paolo Vanini acknowledge the financial support of the Swiss National Science Foundation (NCCR FINRISK). † Correspondence Information: Markus Leippold, Swiss Banking Institute, University of Zürich, Switzerland, tel: +41 (01) 634 39 62, mailto:leippold@isb.unizh.ch