英文标题：
《Structural default model with mutual obligations》
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作者：
Andrey Itkin and Alexander Lipton
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最新提交年份：
2015
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英文摘要：
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual obligations more transparent, a simple structural default model with banks\' assets driven by correlated multidimensional Brownian motion with drift is considered. This model enables a closed form representation for many quantities of interest, at least in a 2D case, to be obtained, and moreover, model calibration is provided. Finally, we demonstrate that mutual obligations have to be taken into account in order to get correct values for model parameters.
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中文摘要：
本文考虑了互联银行系统中的相互义务，分析了它们对单个银行的联合生存概率和边际生存概率以及CDS和FTD价格的影响。为了使相互义务的作用更加透明，考虑了一个简单的结构违约模型，该模型考虑了银行资产受相关的带漂移的多维布朗运动驱动。该模型能够获得许多感兴趣的量的闭合形式表示，至少在二维情况下是如此，此外，还提供了模型校准。最后，我们证明，为了获得正确的模型参数值，必须考虑相互义务。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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