Gouriéroux, Christian; Heam, Jean-Cyprien; Monfort, Alain - Centre de Recherche en Économie et Statistique … - 2013
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 system, the standard pricing formulas do not apply and...