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An Application of Contingent Claim Analysis to the Portuguese Banking System

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  • António Antunes
  • Nuno Silva

Abstract

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Suggested Citation

  • António Antunes & Nuno Silva, 2010. "An Application of Contingent Claim Analysis to the Portuguese Banking System," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:bdpart:ar201002
    as

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    File URL: https://www.bportugal.pt/sites/default/files/anexos/papers/ar201002_e.pdf
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    References listed on IDEAS

    as
    1. Mr. Dale F Gray & Mr. James P Walsh, 2008. "Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System," IMF Working Papers 2008/089, International Monetary Fund.
    2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    3. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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