We consider a network of bank holdings, where every holding has two subsidiaries of different types. A subsidiary can trade with another holding's subsidiary of the same type. Holdings support their subsidiaries up to a certain level when they would otherwise fail to honor their financial...

In a crisis, when faced with insolvency, banks can sell stock in a dilutive offering in thestock market and borrow money in order to raise funds. We propose a simple model to find themaximum amount of new funds the banks can raise in these ways. To do this, we incorporatemarket confidence of the...

This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as well. We consider both uncollateralized and collateralized loans. The main results of this work are providing...

In this paper, we present an intensity-based common factor model that is used to analyze the valuation of common systematic risks in multi-name credit and equity markets. In particular, we use a hybrid intensity model to price single-name credit instruments such as credit default swaps (CDSs),...