Análisis de Derechos Contingentes: Aplicación a Casas Comerciales
AbstractThe Contingent Claim Analysis (CCA) is a useful tool for the risk analysis of listed companies. In this paper, we present the application of CCA to the department-store firms listed on the Chilean stock market. We obtain two main results: (1) the simplified version of distance to default proposed by BystrÃ¶m (2007) works for these firms, and (2) the distance to default found for this group of firms can be related to macroeconomic variables such as unemployment rate, output growth, and interest rate.
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Bibliographic InfoArticle provided by Central Bank of Chile in its journal Economía Chilena: Notas de Investigación Técnica.
Volume (Year): 13 (2010)
Issue (Month): 1 (April)
Other versions of this item:
- Rodrigo Alfaro & Natalia Gallardo, 2009. "Análisis de Derechos Contingentes: Aplicación a Casas Comerciales," Working Papers Central Bank of Chile 535, Central Bank of Chile.
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- Rodrigo A. Alfaro. & Andrés Sagner & Carmen G. Silva, 2011. "Aplicaciones del Modelo Binomial para el Análisis de Riesgo," Working Papers Central Bank of Chile 631, Central Bank of Chile.
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