Liquidation equilibrium with seniority and hidden CDO
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- Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013. "Liquidation Equilibrium with Seniority and Hidden CDO," Working Papers 2013-06, Center for Research in Economics and Statistics.
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- Fourel, V. & Héam, J-C. & Salakhova, D. & Tavolaro, S., 2013. "Domino Effects when Banks Hoard Liquidity: The French network," Working papers 432, Banque de France.
- Johannes Hain & Tom Fischer, 2015. "Valuation Algorithms for Structural Models of Financial Interconnectedness," Papers 1501.07402, arXiv.org.
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More about this item
KeywordsCollateralized debt obligation; Contagion; Solvency risk; Value-of-the firm model; Liquidation equilibrium; Contagion premium; Systemic risk;
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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