Before revision: Using a structural default model considered in Lipton and Sepp ( 2009 ) we propose a new approach to introducing correlated jumps into this framework. As the result we extend a set of the tractable Levy models which represent the jumps as a sum of the idiosyncratic and common parts.
After revision: Using a structural default model considered in Lipton and Sepp ( 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common parts.