An Application of Contingent Claim Analysis to the Portuguese Banking System
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References listed on IDEAS
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
- 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.
- Dale F. Gray & James P Walsh, 2008. "Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System," IMF Working Papers 08/89, International Monetary Fund.
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- Martín Saldías, 2012. "Systemic risk analysis and option-based theory and information," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
- Mariana Laverde & Esteban Gómez & Miguel Ángel Morales Mosquera, "undated". "Measuring Systemic Risk in the Colombian Financial System: Systemic Contingent Claims Approach," Temas de Estabilidad Financiera 060, Banco de la Republica de Colombia.
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