Modelling the dependency between currency and debt crises: an option based approach

DOI10.1016/J.ECONLET.2008.02.026zbMath1255.91406OpenAlexW3124317408MaRDI QIDQ1934882

Dominik Maltritz

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.02.026

zbMATH Keywords

financial crisisoption pricing theorysovereign riskcrisis probability

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Model of Financial Crises in Emerging Markets
• Bank Runs, Deposit Insurance, and Liquidity

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