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Bilateral Exposures and Systemic Solvency Risk.

Gourieroux, C.; Heam, J.C.; Monfort, A. - Banque de France - 2012

By introducing a structure of the balance sheets of the banks, which takes into account their bilateral exposures in terms of stocks or lendings, we get a structural model for default analysis. This model allows distinguishing the exogenous and endogenous default dependence. We prove the...

Persistent link: https://www.econbiz.de/10010815986

Liquidation equilibrium with seniority and hidden CDO

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 …

Persistent link: https://www.econbiz.de/10010709499