Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System /

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...

書誌詳細
第一著者:	Gray, Dale
その他の著者:	Walsh, James
フォーマット:	雑誌
言語:	English
出版事項:	Washington, D.C. : International Monetary Fund, 2008.
シリーズ:	IMF Working Papers; Working Paper ; No. 2008/089
オンライン･アクセス:	Full text available on IMF

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