Altar, Moisa; Altar-Samuel, Adam-Nelu; Marcu, Ioana - In: Journal for Economic Forecasting (2014) 4, pp. 22-48
This paper dwells upon the contingent claims analysis (CCA) framework in order to quantify the risk of financial distress at the level of the sectors of economy (banking, sovereign and corporate sector). After the CCA risk indicators have been obtained for the three analyzed sectors, a global...