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...

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Bibliographic Details
Main Authors: Itkin, Andrey, Lipton, Alexander
Other Authors: MIT Connection Science (Research institute)
Format: Article
Language:English
Published: Springer US 2017
Online Access:http://hdl.handle.net/1721.1/107684