Measuring Sovereign Risk in Turkey: An Application of the Contingent Claims Approach

Keller, Christian; Kunzel, Peter; Souto, Marcos

doi:10.2139/ssrn.1033213

Cited by 7 publications

(1 citation statement)

References 4 publications

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“…Approaches similar to CCA have been used for some time by risk managers and investors for analyzing individual institutions; 11 these approaches have recently been extended to the systemic level (Gray, Merton, and Bodie, 2007). CCA has been performed on emerging markets, such as Brazil and Thailand (Gapen and others, 2004), Indonesia (Gray and Jones, 2006), and Turkey (Keller, Kunzel, and Souto, 2007). This may be the first time, as far as we know, that CCA-style analysis is attempted for advanced Europe.…”

Section: Appendix III Contingent Claims Analysis: a Primermentioning

confidence: 99%

From Subprime Loans to Subprime Growth? Evidence for the Euro Area

Čihák

Brooks²

2009

IMF Working Papers

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This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.The global financial crisis has highlighted the potential of financial conditions for influencing real economic activity. We examine the linkages between the financial and real sectors in the euro area, finding that (i) bank loan supply responds negatively to declines in bank soundness; (ii) a cutback in bank loan supply has a negative impact on economic activity; (iii) a positive shock to the corporate bond spread lowers industrial output; and (iv) risk indicators for the banking, corporate, and public sectors show an improvement beginning in 2002-03, followed by a major deterioration since 2007. These estimates imply that the currently estimated bank losses would subtract some 2 percentage points from the euro area output (but with considerable uncertainty around the estimates).

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Section: Appendix III Contingent Claims Analysis: a Primermentioning

confidence: 99%