  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 and Jensen's inequality provides
an upper bound to the price of debt under Eisenberg-Noe financial networks with
bankruptcy costs. 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 is given to the
CAPM setting in which firms invest in correlated portfolios so as to provide
analytical stress testing formulas. We endogenously construct the comonotonic
endowment setting from a equity maximizing standpoint with capital transfers.
We conclude by, numerically, comparing the network valuation problem with two
single firm baseline heuristics which can, respectively, approximate the price
of debt and equity.
