Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/299072 
Year of Publication: 
2023
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 12 [Issue:] 2 [Year:] 2023 [Pages:] 63-82
Publisher: 
Sciendo, Warsaw
Abstract: 
In this paper we apply the Contingent Claims Analysis (CCA) to the banking sector in Greece with a particular focus on the years of the Greek debt crisis. Greece was selected primarily because its banking sector was hit hard due to the country's government debt default and its large exposure to domestic loans. The results obtained on the SIB's level and on the banking sector level gave us particular insight into the benefits of CCA for micro- and macroprudential policy reasons. The Distance-to-Distress (DtD) risk metric produced is particularly useful for detecting banks' vulnerabilities and resilience before they are revealed in the market. Moreover, the reduced volatility of DtD time series makes it an ideal candidate for tool predictions purposes and ultimately for policy reasons.
Subjects: 
Distance-to-Distress
banking risks
Contingent Claims Analysis
Greek crisis
JEL: 
G1
G2
G13
G32
G33
H63
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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