Kyriakopoulos, Constantinos; Koulis, Alexandros; … - In: Journal of central banking theory and practice 12 (2023) 2, pp. 63-82
In this paper we apply the Contingent Claims Analysis (CCA) to the banking sector in Greece with a particular focus on … the years of the Greek debt crisis. Greece was selected primarily because its banking sector was hit hard due to the … Distance-to-Distress (DtD) risk metric produced is particularly useful for detecting banks' vulnerabilities and resilience …