Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk
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Keywords
WP; put option; financial market; market value; macroprudential policy and surveillance; contingent claims analysis (CCA); systemic CCA; systemic risk; conditional tail expectation (CTE); contingent liabilities; extreme value theory (EVT); risk-adjusted balance sheets; stress testing; expected loss; balance sheet approach; asset volatility; capital shortfall; implied asset value; bank debt; capital assessment; market risk exposure; equity put option value; CDS put option value; equity capital; Debt default; Asset valuation; Financial statements; Global;All these keywords.
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