Search Results - subject:"Contingent Claims Analysis"

Measuring economic distress using the contingent claims approach

Castrén, Olli; Kopp, Raphael M. - 2025

We introduce a new Economic Distress Index (EDI), which incorporates information from all economic sectors as a device for real-time monitoring of financial stability risks in the euro area. Our approach is based on structural models of credit risk and incorporates market and balance sheet...

Persistent link: https://www.econbiz.de/10015203202

Importance of the contingent claims analysis in detecting banking risks: Evidence from the Greek bank crisis

Kyriakopoulos, Constantinos; Koulis, Alexandros; … - In: Journal of Central Banking Theory and Practice 12 (2023) 2, pp. 63-82

In this paper we apply the Contingent Claims Analysis (CCA) to the banking sector in Greece with a particular focus on …

Persistent link: https://www.econbiz.de/10014558383

Importance of the contingent claims analysis in detecting banking risks : evidence from the Greek bank crisis

Kyriakopoulos, Constantinos; Koulis, Alexandros; … - In: Journal of central banking theory and practice 12 (2023) 2, pp. 63-82

In this paper we apply the Contingent Claims Analysis (CCA) to the banking sector in Greece with a particular focus on …

Persistent link: https://www.econbiz.de/10014316650

Measuring sovereign credit risk of the EU countries

Siuda, Vojtěch; Szabo, Milan - In: Journal of Central Banking Theory and Practice 10 (2021) 3, pp. 169-192

contingent claims analysis that is based on the Merton's Credit Risk Model and the Black-Scholes option pricing techniques. The …

Persistent link: https://www.econbiz.de/10014558450

Measuring sovereign credit risk of the EU countries

Siuda, Vojtěch; Szabo, Milan - In: Journal of central banking theory and practice 10 (2021) 3, pp. 169-192

contingent claims analysis that is based on the Merton's Credit Risk Model and the Black-Scholes option pricing techniques. The …

Persistent link: https://www.econbiz.de/10012650932

A comprehensive approach for calculating banking sector risks

Salleo, Carmelo; Grassi, Alberto; Kyriakopoulos, … - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-21

metric shows that Contingent Claims Analysis underestimates banks risk in stable periods and overstates it during crisis …

Persistent link: https://www.econbiz.de/10013200316

A comprehensive approach for calculating banking sector risks

Salleo, Carmelo; Grassi, Alberto; Kyriakopoulos, … - In: International Journal of Financial Studies : open … 8 (2020) 4/69, pp. 1-21

metric shows that Contingent Claims Analysis underestimates banks risk in stable periods and overstates it during crisis …

Persistent link: https://www.econbiz.de/10012321152

Robert C. Merton and the science of finance

Bodie, Zvi - In: Annual review of financial economics 12 (2020), pp. 19-38

Persistent link: https://www.econbiz.de/10012404616

Bank funding costs and capital structure

Gimber, Andrew R; Rajan, Aniruddha - 2019

Persistent link: https://www.econbiz.de/10012201129

Market-implied systemic risk and shadow capital adequacy

Chatterjee, Somnath; Jobst, Andreas A. - 2019

Persistent link: https://www.econbiz.de/10012202397

A service of the

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