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...
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| Fformat: | Cylchgrawn |
| Iaith: | English |
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Washington, D.C. :
International Monetary Fund,
2008.
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| Cyfres: | IMF Working Papers; Working Paper ;
No. 2008/089 |
| Mynediad Ar-lein: | Full text available on IMF |