NO‐ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS‐OWNERSHIP

DOI10.1111/j.1467-9965.2012.00526.xzbMath1314.91193arXiv1005.0768OpenAlexW1488146939WikidataQ55954198 ScholiaQ55954198MaRDI QIDQ5411395

Tom Fischer

Publication date: 23 April 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.0768

zbMATH Keywords

credit riskderivatives pricingleveragesystemic riskstructural modelsfinancial contagioncounterparty riskcross-ownershipownership structurecross-holdingsno-arbitrage pricingcontingent claims analysisMerton modelabsolute priority rulecapital structure irrelevancemulti-asset valuationpriority of claimsreciprocal ownershipseniority of debt

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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