  This paper considers mutual obligations in the interconnected bank system and
analyzes their influence on joint and marginal survival probabilities as well
as CDS and FTD prices for the individual banks. To make the role of mutual
obligations more transparent, a simple structural default model with banks'
assets driven by correlated multidimensional Brownian motion with drift is
considered. This model enables a closed form representation for many quantities
of interest, at least in a 2D case, to be obtained, and moreover, model
calibration is provided. Finally, we demonstrate that mutual obligations have
to be taken into account in order to get correct values for model parameters.
