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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Bibliographic Details
Main Author: Gray, Dale
Other Authors: Walsh, James
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