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Análisis de Derechos Contingentes: Aplicación a Casas Comerciales

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  • Rodrigo Alfaro A.
  • Natalia Gallardo S.
  • Camilo Vio G.

Abstract

The 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 Byström (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 Info

Article provided by Central Bank of Chile in its journal Economía Chilena: Notas de Investigación Técnica.

Volume (Year): 13 (2010)
Issue (Month): 1 (April)
Pages: 73-82

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Handle: RePEc:chb:bcchni:v:13:y:2010:i:1:p:73-82

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  1. Vladimir Yankov & Egon Zakrajsek & Simon Gilchrist, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," 2009 Meeting Papers, Society for Economic Dynamics 514, Society for Economic Dynamics.
  2. Felipe Zurita, 2008. "La Predicción de la Insolvencia de Empresas Chilenas," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. 336, Instituto de Economia. Pontificia Universidad Católica de Chile..
  3. Ke Wang & Darrell Duffie, 2004. "Multi-Period Corporate Failure Prediction With Stochastic Covariates," Econometric Society 2004 Far Eastern Meetings, Econometric Society 745, Econometric Society.
  4. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(1-2), pages 59-117, January.
  5. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  6. Darrell Duffie & Ke Wang, 2004. "Multi-Period Corporate Failure Prediction with Stochastic Covariates," NBER Working Papers 10743, National Bureau of Economic Research, Inc.
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Cited by:
  1. Rodrigo A. Alfaro. & Andrés Sagner & Carmen G. Silva, 2011. "Aplicaciones del Modelo Binomial para el Análisis de Riesgo," Working Papers Central Bank of Chile, Central Bank of Chile 631, Central Bank of Chile.

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