Keywords: Contingent claims analysis
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Journal Articles
Journal of Financial Regulation and Compliance (2013) 21 (4): 308–318.
Published: 11 November 2013
... on concepts of contingent claims analysis to model the value of insurance of risky bank debt when the sovereign providing the guarantee can itself be risky. This framework allows one to monitor any progress made in reducing the value of these guarantees. It is applied here to a measure of implicit external...

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