Systemic Contingent Claims Analysis
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Type: BOOK - Published: 2011-09-16 - Publisher: International Monetary Fund
This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress t
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Type: BOOK - Published: 2019-01-21 - Publisher: World Scientific
Black and Scholes (1973) and Merton (1973, 1974) (hereafter referred to as BSM) introduced the contingent claim approach (CCA) to the valuation of corporate deb
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Language: en
Pages: 70
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Type: BOOK - Published: 2012-08-01 - Publisher: International Monetary Fund
Little progress has been made so far in addressing—in a comprehensive way—the externalities caused by impact of the interconnectedness within institutions a