Structural default model with mutual obligations

In this paper we consider mutual obligations in an interconnected bank system and analyze their impact on the joint and marginal survival probabilities for individual banks. We also calculate prices of the corresponding credit default swaps and first-to-default swaps. To make the role of mutual obli...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Review of derivatives research 2017-04, Vol.20 (1), p.15-46
Hauptverfasser:	Itkin, Andrey, Lipton, Alexander
Format:	Artikel
Sprache:	eng
Schlagworte:	Bailouts Banking industry Banks Calibration Credit default swaps Default Derivatives Economic theory Economics and Finance Finance Investments and Securities Studies
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!