Gobert, Karine; Gonzalez, Patrick; Poitevin, Michel - Groupe de recherche en économie de l'énergie, de … - 2002
We propose a valuation model for a bank which faces a bankruptcy risk. Banks are identified with a possibly infinite random sequence of net benefits. A bank is solvent as long as its benefits remain non-negative. To preserve distressed banks from destruction, banks will be pooled within a...