Modelling the dependency between currency and debt crises: an option based approach. (English) Zbl 1255.91406
Summary: The interrelation between currency and debt crises is considered in a model relying on option pricing theory. By capturing uncertainty and time aspects in this stochastic and dynamic framework we analyze parameters that determine the probabilities and dependencies of these crises.
MSC:
| 91G20 | Derivative securities (option pricing, hedging, etc.) |
| 91B64 | Macroeconomic theory (monetary models, models of taxation) |
| 91G40 | Credit risk |
References:
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