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A Risk-Based Debt Sustainability Framework : Incorporating Balance Sheets and Uncertainty
Gray, Dale - 2008
This paper proposes a new framework for the analysis of public sector debt sustainability. The framework uses concepts and methods from modern practice of contingent claims to develop a quantitative risk-based model of sovereign credit risk. The motivation in developing this framework is to...
Persistent link: https://www.econbiz.de/10014401872
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The contingent claims approach to corporate vulnerability analysis: estimating default risk and economywide risk transfer
Gapen, Michael T.; Gray, Dale; Lim, Cheng Hoon; Xiao, … - In: Corporate restructuring : lessons from experience ; …, (pp. 261-300). 2005
Persistent link: https://www.econbiz.de/10002861161
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Quantifying systematic risk and reconceptualizing the role of finance for economic growth
Gray, Dale; Jobst, Andreas A.; Malone, Samuel W. - In: Journal of investment management : JOIM 8 (2010) 2, pp. 90-110
Persistent link: https://www.econbiz.de/10003986666
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On a new approach for analyzing and managing macrofinancial risks
Merton, Robert C.; Billio, Monica; Getmansky, Mila; … - In: Financial analysts' journal : FAJ 69 (2013) 2, pp. 22-33
Persistent link: https://www.econbiz.de/10009745669
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Financial, sovereign, and macro risk in the European Union : contingent claims approach
Gray, Dale - In: From fragmentation to financial integration in Europe, (pp. 69-96). 2014
Persistent link: https://www.econbiz.de/10010356356
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New framework for measuring and managing macrofinancial risk and financial stability
Gray, Dale; Merton, Robert C.; Bodie, Zvi - 2009
Persistent link: https://www.econbiz.de/10008822818
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Measuring and managing macrofinancial risk and financial stability : a new framework
Gray, Dale; Merton, Robert C.; Bodie, Zvi - In: Financial stability, monetary policy, and central …, (pp. 125-157). 2011
Persistent link: https://www.econbiz.de/10009537399
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A new framework for analyzing and managing macrofinancial risks of an economy
Gray, Dale; Merton, Robert C.; Bodie, Zvi - 2006
Persistent link: https://www.econbiz.de/10003388263
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A new framework for analyzing and managing macrofinancial risks of an economy
Gray, Dale (contributor); Merton, Robert C. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003436639