Narrow search
Showing 1 - 3 of 3
Cover Image
Bilateral exposures and systemic solvency risk
Gouriéroux, Christian; Héam, Jean-Cyprien; Monfort, Alain - Université Paris-Dauphine (Paris IX) - 2012
terms of stocks or lendings, we get a structural model for default analysis. This model allows us to distinguish the … exogenous and endogenous default dependence. We prove the existence and uniqueness of the liquidation equilibrium, we study the …
Persistent link: https://www.econbiz.de/10011265532
Cover Image
Liquidation equilibrium with seniority and hidden CDO
Gouriéroux, Christian; Héam, Jean-Cyprien; Monfort, Alain - Université Paris-Dauphine (Paris IX) - 2013
The aim of our paper is to price credit derivatives written on a single name when this name is a bank. Indeed, due to the special structure of the balance sheet of a bank and to the interconnections with other institutions of the financial system, the standard pricing formulas do not apply and...
Persistent link: https://www.econbiz.de/10011265539
Cover Image
Analyse et mesure du risque systémique
Héam, Jean-Cyprien - Université Paris-Dauphine (Paris IX) - 2015
explain how to set the level and the composition of regulatory reserves to control for default risk. …
Persistent link: https://www.econbiz.de/10011265545