Gourieroux, C.; Heam, J.C.; Monfort, A. - In: Journal of Banking & Finance 37 (2013) 12, pp. 5261-5274
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 … derivatives written on a single bank name requires a joint analysis of the risks of all banks directly or indirectly …