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: probability of default, exposure at default and the recovery rate. In reality these parameters are the result of the interaction …
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Europe and the CIS and elaborates on its risks to banking sector stability. Austrian banks’ foreign currency loan exposure …
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I discuss a network of banks which are linked with each other by financial obligations and cross holdings. Given an initial endowment the value of the obligations and the equity values of the banks are determined endogenously in a way consistent with the priority of debt and the limited...
Persistent link: https://www.econbiz.de/10010727732
: probability of default, exposure at default and the recovery rate. In reality these parameters are the result of the interaction …
Persistent link: https://www.econbiz.de/10010727807
I discuss a network of banks which are linked with each other by financial obligations and cross holdings. Given an initial endowment the value of the obligations and the equity values of the banks are determined endogenously in a way consistent with the priority of debt and the limited...
Persistent link: https://www.econbiz.de/10005031420