Abstract
Geometry of Defaults
Richard Sowers
University of Illinois at Urbana-Champaign
Co-author: Henry K. Schenck and Rui Song (University of Illinois at Urbana-Champaign)
We discuss some geometric considerations of defaults in networks of obligations. In particular, we use the clearing policies of Eisenberg and Noe and some ideas from geometry to compare counterparties
We discuss some geometric considerations of defaults in networks of obligations. In particular, we use the clearing policies of Eisenberg and Noe and some ideas from geometry to compare counterparties