31 citations · 41 across the 6 of their papers we have counts for
3 papers · 1 filter
Pricing of debt and equity in a financial network with comonotonic endowments
Tathagata Banerjee, Zachary Feinstein
In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting pro…
Impact of Contingent Payments on Systemic Risk in Financial Networks
Tathagata Banerjee, Zachary Feinstein
In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg-Noe finan…
Dynamic Clearing and Contagion in Financial Networks
Tathagata Banerjee, Alex Bernstein, Zachary Feinstein
In this paper we introduce a generalized extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic ex…