Gobert, Karine; González, Patrick; Poitevin, Michel; … - Centre Interuniversitaire de Recherche en Analyse des … - 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...