Title: Pricing of debt and equity in a financial network with comonotonic endowments,
Abstract: 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 provides a lower bound to the price of debt under
Eisenberg-Noe financial networks with consistent marginal endowments. Such
financial networks encode the interconnection of firms through debt claims. The
proposed pricing formulas consider the realized, endogenous, recovery rate on
debt claims. Special consideration will be given to the setting in which firms
only invest in a risk-free bond and a common risky asset following a geometric
Brownian motion.