Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System /
This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomic and financial developments in Chile and outside, but bank responses are highly heter...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Journal |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2008.
|
| Series: | IMF Working Papers; Working Paper ;
No. 2008/089 |
| Online Access: | Full text available on IMF |