Numerical analysis of an extended structural default model with mutual liabilities and jump risk
We consider a structural default model in an interconnected banking network as in Lipton (2016), with mutual obligations between each pair of banks. We analyse the model numerically for two banks with jumps in their asset value processes. Specifically, we develop a finite difference method for the r...
| Những tác giả chính: | , , |
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| Định dạng: | Journal article |
| Được phát hành: |
Elsevier
2017
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