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The Lehman Brothers Effect and Bankruptcy Cascades
Lehman Brothers Effect Bankruptcy Cascades
2010/10/18
Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immedia...
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Credit Default Swaps StructuralModels Black Cox Model, Calibration
2010/11/3
In this paper we develop structural first passage models (AT1P and SBTV)with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, ...