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...
| Yazar: | |
|---|---|
| Diğer Yazarlar: | |
| Materyal Türü: | Dergi |
| Dil: | English |
| Baskı/Yayın Bilgisi: |
Washington, D.C. :
International Monetary Fund,
2008.
|
| Seri Bilgileri: | IMF Working Papers; Working Paper ;
No. 2008/089 |
| Online Erişim: | Full text available on IMF |