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  • Search: subject:"contingent claims analysis"
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Year of publication
Subject
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contingent claims analysis 20 Contingent claims analysis 17 Optionspreistheorie 13 Option pricing theory 12 Credit risk 9 Systemic risk 9 Contingent Claims Analysis 8 Kreditrisiko 8 Systemrisiko 7 Bank risk 6 Bankrisiko 6 CAPM 6 Real options 6 Theorie 6 Theory 6 Capital structure 5 Kapitalstruktur 5 Risiko 5 Risk 5 systemic risk 5 Bankenkrise 4 Banking crisis 4 Financial crisis 4 Finanzkrise 4 Macro-prudential analysis 4 Portfolio credit risk measurement 4 banking risks 4 macro-prudential analysis 4 Bank debt 3 Bank regulatory reform 3 EU-Staaten 3 Implicit guarantees 3 Infrastructure 3 Insolvency 3 Insolvenz 3 Monte carlo 3 Optimal timing 3 Project finance 3 Agricultural research 2 Ansteckungseffekt 2
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Online availability
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Free 22 Undetermined 14 CC license 3
Type of publication
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Article 31 Book / Working Paper 16
Type of publication (narrower categories)
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Article in journal 15 Aufsatz in Zeitschrift 15 Working Paper 9 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Article 3 research-article 2 Festschrift 1
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Language
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English 30 Undetermined 17
Author
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Saldías, Martín 6 Castrén, Olli 4 Kyriakopoulos, Constantinos 4 Andoseh, Stephen 2 Bahn, Rachel 2 Bastien, Josée 2 Brière, Marie 2 Ferrarini, Benno 2 Grassi, Alberto 2 Grégoire, Philippe 2 Gu, Jenny 2 Karasahin, Ramazan 2 Kavonius, Ilja Kristian 2 Keles, Gursu 2 Kopp, Raphael M. 2 Koulis, Alexandros 2 Power, Gabriel J 2 Ramayandi, Arief 2 Salleo, Carmelo 2 Schich, Sebastian 2 Siuda, Vojtěch 2 Steenkamp, Tom B.M. van 2 Szabo, Milan 2 Tandja M., Charli D. 2 Varvounis, Gerasimos 2 Akkoyun, Huseyin Cagri 1 Akkoyun, Huseyin Cagrý 1 Akkoyun, Hüseyin Çaǧri 1 Altar, Moisa 1 Altar-Samuel, Adam-Nelu 1 Anderson, Ronald 1 Bastien, Josee 1 Bernard, Carole 1 Bodie, Zvi 1 Chatterjee, Somnath 1 Chen, Louisa 1 Chung, Kee H. 1 Courtois, Olivier 1 Dijk, Mathijs van 1 Fischer, Tom 1
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Institution
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European Central Bank 2 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 1 Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit 1 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 1 Türkiye Cumhuriyet Merkez Bankası 1 VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 1
Published in...
All
ECB Working Paper 2 Journal of Central Banking Theory and Practice 2 Journal of Financial Regulation and Compliance 2 Journal of central banking theory and practice 2 Serie Research Memoranda 2 Staff working papers / Bank of England 2 Working Paper Series / European Central Bank 2 ADB Economics Working Paper Series 1 ADB economics working paper series 1 Annual Review of Financial Economics 1 Annual review of financial economics 1 Cahiers de recherche 1 Central Bank Review 1 Central Bank review / The Central Bank of the Republic of Turkey 1 Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1 Discussion papers / CEPR 1 EBA Staff Paper Series 1 EBA staff paper series 1 Finance : revue de l'Association Française de Finance 1 Finance research letters 1 Food Policy 1 Food policy : economics planning and politics of food and agriculture 1 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1 International journal of banking, accounting and finance 1 Journal for Economic Forecasting 1 Journal of Asian economics 1 Journal of Banking & Finance 1 Journal of Financial Stability 1 Journal of Risk Finance 1 Journal of banking & finance 1 Journal of financial regulation and compliance : an international journal 1 Journal of financial stability 1 Journal of risk finance : the convergence of financial products and insurance 1 Management Science 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Small Business Economics 1 The Geneva Papers on Risk and Insurance Theory 1 The Journal of Risk Finance 1 Working Papers / Türkiye Cumhuriyet Merkez Bankası 1
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Source
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ECONIS (ZBW) 20 RePEc 18 EconStor 7 Other ZBW resources 2
Showing 1 - 10 of 47
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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/10015432219
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Cover Image
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
Saved in:
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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
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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
Saved in:
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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
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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
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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
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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
Saved in:
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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
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Bank funding costs and capital structure
Gimber, Andrew R; Rajan, Aniruddha - 2019
Persistent link: https://www.econbiz.de/10012201129
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