  We consider a structural default model in an interconnected banking network
as in Lipton [International Journal of Theoretical and Applied Finance, 19(6),
2016], with mutual obligations between each pair of banks. We analyse the model
numerically for two banks with jumps in their asset value processes.
Specifically, we develop a finite difference method for the resulting
two-dimensional partial integro-differential equation, and study its stability
and consistency. We then compute joint and marginal survival probabilities, as
well as prices of credit default swaps (CDS), first-to-default swaps (FTD),
credit and debt value adjustments (CVA and DVA). Finally, we calibrate the
model to market data and assess the impact of jump risk.
