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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...
Persistent link: https://www.econbiz.de/10005264053
. It is found in general, that including distance-to-default (dtd) of the banking system in the central bank reaction …
Persistent link: https://www.econbiz.de/10009327873
The paper evaluates how increases in banks’ and nonfinancial corporates’ default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the period from January 1996 to December 2008. The results point to two-way...
Persistent link: https://www.econbiz.de/10008542980