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...
Main Authors: | , |
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Other Authors: | |
Format: | Article |
Language: | English |
Published: |
Springer US
2017
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Online Access: | http://hdl.handle.net/1721.1/107684 |