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July 28, 2015

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Subject / Keyword: contingent claims analysis

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Title: Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System
Author/Editor: Gray, Dale F. ; Walsh, James P
Series: Working Paper No. 08/89
Published: April 1, 2008
Subject(s): Banking systems | Chile | Pricing policy | Capital markets | Credit risk | Economic models
Author's keyword(s): contingent claims analysis | credit risk | factor model | VAR


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