This paper proposes a quasi-bounded process for exchange rate dynamics within a target zone, consistent with a credible exchange rate band in which the exchange rate cannot breach the strong-side limit while the weak-side limit is only accessible under restricted conditions of the relationship...

This paper proposes a model based on probability density functions associated with dynamics of underlying asset prices to measure contagion-induced systemic risk in the market. The two new risk measures with closed-form formulas derived from the model are:(1) the rate of change of the...