Bilateral exposures and systemic solvency risk
通过引入银行资产负债表结构并考虑双边风险暴露，构建了违约分析的结构模型，区分外生与内生违约依赖，证明清算均衡的存在性与唯一性，并应用于法国银行系统分析冲击与传染。
Abstract By introducing a structure of the balance sheets of the banks, which takes into account their bilateral exposures in terms of stocks or lendings, we get a structural model for default analysis. This model allows us to distinguish the exogenous and endogenous default dependence. We prove the existence and uniqueness of the liquidation equilibrium, we study the consequences of exogenous shocks on the banking system and we measure contagion phenomena. This approach is illustrated by an application to the French banking system.