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The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-Wide Risk Transfer

Citations

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Cited by:

  1. Nuno Silva, 2010. "Inter-Sector Relations in the Portuguese Economy: an Application of Contingent," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  2. Carmelo Salleo & Alberto Grassi & Constantinos Kyriakopoulos, 2020. "A Comprehensive Approach for Calculating Banking Sector Risks," IJFS, MDPI, vol. 8(4), pages 1-21, November.
  3. Andrew Sheng & Allen Ng, 2008. "The External Wealth of China: An Investigation from the International Balance Sheet Perspective," Working Papers 012008, Hong Kong Institute for Monetary Research.
  4. Daniel Oda, 2013. "Introducing Liquidity Risk in the Contingent-Claim Analysis for the Banks," Working Papers Central Bank of Chile 681, Central Bank of Chile.
  5. Martin CIHAK, 2007. "Systemic Loss: A Measure of Financial Stability (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 5-26, March.
  6. Jose Giancarlo Gasha & Mr. Andre O Santos & Mr. Jorge A Chan-Lau & Mr. Carlos I. Medeiros & Mr. Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 2009/162, International Monetary Fund.
  7. repec:ptu:bdpart:a201004 is not listed on IDEAS
  8. D. E. Allen & M. McAleer & R. J. Powell & A. K. Singh, 2016. "A capital adequacy buffer model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(3), pages 175-179, February.
  9. Arslanalp, Serkan & Liao, Yin, 2014. "Banking sector contingent liabilities and sovereign risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 316-330.
  10. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
  11. Marcos Souto & Benjamin M. Tabak & Francisco Vazquez, 2009. "Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks," Working Papers Series 189, Central Bank of Brazil, Research Department.
  12. Arlyana Abubakar & Rieska Indah Astuti & Rini Oktapiani, 2015. "Selecting Early Warning Indicator To Identify Corporate Sector Distress: Efforts To Strengthen Crisis Prevention," Working Papers WP/7/2015, Bank Indonesia.
  13. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc.
  14. Mr. Dale F Gray & Ms. Elena Loukoianova & Samuel W. Malone & Cheng Hoon Lim, 2008. "A Risk-Based Debt Sustainability Framework: Incorporating Balance Sheets and Uncertainty," IMF Working Papers 2008/040, International Monetary Fund.
  15. Serkan Arslanalp & Yin Liao, 2013. "Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors," CAMA Working Papers 2013-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  16. Surach Tanboon & Suchot Piamchol & Tanawat Ruenbanterng & Paiboon Pongpaichet, 2009. "Impacts of Financial Factors on Thailand's Business Cycle Fluctuations," Working Papers 2009-01, Monetary Policy Group, Bank of Thailand.
  17. Mr. Rupert D Worrell, 2004. "Quantitative Assessment of the Financial Sector: An Integrated Approach," IMF Working Papers 2004/153, International Monetary Fund.
  18. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2006. "A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy," NBER Working Papers 12637, National Bureau of Economic Research, Inc.
  19. Sun, Lixin, 2021. "Quantifying the vulnerabilities of China’s corporate sector with contingent claims," Journal of Asian Economics, Elsevier, vol. 75(C).
  20. Firano, Zakaria & Filali adib, Fatine, 2019. "Intersectorial contagion risk in Morocco," MPRA Paper 95343, University Library of Munich, Germany.
  21. Emiliano Delfau, 2019. "Medidas de estabilidad financiera y pruebas de estrés aplicando el modelo de análisis de derechos contingentes en Argentina," CEMA Working Papers: Serie Documentos de Trabajo. 698, Universidad del CEMA.
  22. Emiliano Delfau, 2018. "Risk Framework Analysis in the Management of Sovereign Debt: The Argentine case," CEMA Working Papers: Serie Documentos de Trabajo. 634, Universidad del CEMA.
  23. Mr. Martin Cihak & Ms. Petya Koeva Brooks, 2009. "From Subprime Loans to Subprime Growth? Evidence for the Euro Area," IMF Working Papers 2009/069, International Monetary Fund.
  24. Mr. Udaibir S Das & Miss Yinqiu Lu & Mr. Michael G. Papaioannou & Iva Petrova, 2012. "Sovereign Risk and Asset and Liability Management: Conceptual Issues," IMF Working Papers 2012/241, International Monetary Fund.
  25. International Monetary Fund, 2008. "Uruguay: Selected Issues," IMF Staff Country Reports 2008/046, International Monetary Fund.
  26. Johan Mathisen & Anthony Pellechio, 2007. "Using the balance sheet approach in surveillance: framework, data sources, and data availability," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Measuring the financial position of the household sector", Basel, 30-31 August 2006 - Volume 1, volume 25, pages 7-44, Bank for International Settlements.
  27. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2011. "Measuring and Managing Macrofinancial Risk and Financial Stability: A New Framework," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 5, pages 125-157, Central Bank of Chile.
  28. International Monetary Fund, 2012. "Spain: Vulnerabilities of Private Sector Balance Sheets and Risks to the Financial Sector Technical Notes," IMF Staff Country Reports 2012/140, International Monetary Fund.
  29. Ana Martinis & Igor Ljubaj, 2017. "Corporate Debt Overhang in Croatia: Micro Assessment and Macro Implications," Working Papers 51, The Croatian National Bank, Croatia.
  30. Mr. Evan C Tanner, 2013. "Fiscal Sustainability: A 21st Century Guide for the Perplexed," IMF Working Papers 2013/089, International Monetary Fund.
  31. Arlyana Abubakar & Rieska Indah Astuti & Rini Oktapiani, 2018. "Selection Of Early Warning Indicator To Identify Distress In The Corporate Sector: Crisis Prevention Strengthening Efforts," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 20(3), pages 343-374, January.
  32. António R. Antunes & Nuno Silva & Nuno Ribeiro, 2011. "Towards a CCA-based Systemic Risk Indicator," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  33. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).
  34. Michael T. Gapen & Mr. Dale F Gray & Cheng Hoon Lim & Ms. Yingbin Xiao, 2005. "Measuring and Analyzing Sovereign Risk with Contingent Claims," IMF Working Papers 2005/155, International Monetary Fund.
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