1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.PR2015★ 1 cited
Structural default model with mutual obligations
Andrey Itkin, Alexander Lipton
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices fo…
q-fin.PR2012★ 1 cited
A structural approach to pricing credit default swaps with credit and debt value adjustments
Alexander Lipton, Ioana Savescu
A multi-dimensional extension of the structural default model with firms' values driven by diffusion processes with Marshall-Olkin-inspired correlation structure is presented. Semi…