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A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy
16 references·12 citing·26 second hop
A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy (2006)A New Framework for Analyzing and Managin…The Pricing of Options and Corporate Liabilities (2019)The Pricing of Options and Co…Theory of rational option pricing (2005)Theory of rational option pri…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…A Functional Perspective of Financial Intermediation (1995)A Functional Perspective of F…Continuous-Time Finance. (1991)Continuous-Time Finance.Continuous-Time Finance. (1991)Continuous-Time Finance.Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation (1984)Contingent Claims Analysis of…The valuation of compound options (1979)The valuation of compound opt…ZETATM analysis A new model to identify bankruptcy risk of corporations (1977)ZETATM analysis A new model t…An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)An analytic derivation of the…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…Accrual-Based and Real Activities Based Earnings Management Behavior of Family Firms in Japan (2015)Accrual-Based and Real Activi…Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe (2013)Within and between systemic c…Systemic risk and the refinancing ratchet effect (2012)Systemic risk and the refinan…MULTIDIMENSIONAL DISTANCE‐TO‐COLLAPSE POINT AND SOVEREIGN DEFAULT PREDICTION (2012)MULTIDIMENSIONAL DISTANCE‐TO‐…A new country risk index for emerging markets: A stochastic dominance approach (2012)A new country risk index for …Toward a Bottom‐Up Approach to Assessing Sovereign Default Risk (2011)Toward a Bottom‐Up Approach t…Incorporating Financial Sector Risk into Monetary Policy Models: Application to Chile (2011)Incorporating Financial Secto…Systemic Risk and the Refinancing Ratchet Effect (2009)Systemic Risk and the Refinan…Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System (2008)Factor Model for Stress-testi…Accounting, Prudential Regulation and Financial Stability: Elements of a Synthesis (2007)Accounting, Prudential Regula…Measuring and Analyzing Sovereign Risk with Contingent Claims (2005)Measuring and Analyzing Sover…The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-Wide Risk Transfer (2004)The Contingent Claims Approac…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)The Theory of Bank Risk Taking and Competition Revisited (2005)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)How does capital affect bank performance during financial crises? (2013)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)5 Stochastic volatility (1996)Statistical aspects of ARCH and stochastic volatility (1996)Monte Carlo methods for security pricing (1997)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 1977ZETATM analysis A new model to identify bankruptcy risk of corporations1,812 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1979The valuation of compound options1,107 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 1984Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation678 cited
  • 1991Continuous-Time Finance.647 cited
  • 1995A Functional Perspective of Financial Intermediation490 cited

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2019
The Pricing of Options and Corporate Liabilities
461 cited

Cited by

  • 2012Systemic risk and the refinancing ratchet effect142 cited
  • 2009Systemic Risk and the Refinancing Ratchet Effect74 cited
  • 2008Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System69 cited
  • 2005Measuring and Analyzing Sovereign Risk with Contingent Claims55 cited
  • 2004The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-Wide Risk Transfer52 cited
  • 2012A new country risk index for emerging markets: A stochastic dominance approach41 cited
  • 2011Toward a Bottom‐Up Approach to Assessing Sovereign Default Risk38 cited
  • 2013Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe33 cited
  • 2007Accounting, Prudential Regulation and Financial Stability: Elements of a Synthesis32 cited
  • 2015Accrual-Based and Real Activities Based Earnings Management Behavior of Family Firms in Japan26 cited
  • 2012MULTIDIMENSIONAL DISTANCE‐TO‐COLLAPSE POINT AND SOVEREIGN DEFAULT PREDICTION21 cited
  • 2011Incorporating Financial Sector Risk into Monetary Policy Models: Application to Chile19 cited