Modelling the Dependency between Currency and Debt Crises: An Option Based Approach
6 Pages Posted: 3 Mar 2007
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Modelling the Dependency between Currency and Debt Crises: An Option Based Approach
Modelling the Dependency between Currency and Debt Crises: An Option Based Approach
Date Written: March 2006
Abstract
The interrelation between currency and debt crises is considered in a model which relies on option pricing theory. This enables us to quantify the probability of financial crises and to study the importance of certain parameters for the occurrence of these crises.
Keywords: financial crisis, sovereign risk, option pricing theory, crisis probability
JEL Classification: G15, F34, F47
Suggested Citation: Suggested Citation
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