IMF Publications by Author
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Gray, F. Dale:
2013
Title: Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR
Series: Working Paper No. 13/218
Date: October 23, 2013
Subject: Banking sector Credit expansion Credit risk Cross country analysis Economic models Financial crises Sovereign debt
Title: Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk
Series: Working Paper No. 13/54
Date: February 27, 2013
Subject: Banks Contingent liabilities Financial crises Financial institutions Financial sector Risk management Systemic risk
2011
Title: Incorporating Financial Sector Risk Into Monetary Policy Models : Application to Chile
Series: Working Paper No. 11/228
Date: September 1, 2011
Subject: Central banking Chile Fiscal policy Monetary policy
2010
Title: International Transmission of Bank and Corporate Distress
Series: Working Paper No. 10/124
Date: May 1, 2010
2008
Title: Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System
Series: Working Paper No. 08/89
Date: April 1, 2008
Subject: Banking systems Capital markets Chile Credit risk Economic models Pricing policy
Title: A Risk-Based Debt Sustainability Framework : Incorporating Balance Sheets and Uncertainty
Series: Working Paper No. 08/40
Date: February 1, 2008
Subject: Balance sheets Debt sustainability Public debt Public sector Reserve management policy Risk management Sovereign risk
2005
Title: Measuring and Analyzing Sovereign Risk with Contingent Claims
Series: Working Paper No. 05/155
Date: August 1, 2005
Subject: Debt sustainability International financial markets Risk management Sovereign risk
2004
Title: The Contingent Claims Approach to Corporate Vulnerability Analysis : Estimating Default Risk and Economy-Wide Risk Transfer
Series: Working Paper No. 04/121
Date: July 1, 2004
Subject: Brazil Credit risk Public sector Thailand
1998
Title: Evaluation of Taxes and Revenues From the Energy Sector in the Baltics, Russia, and Other Former Soviet Union Countries
Series: Working Paper No. 98/34
Date: March 1, 1998
Subject: Azerbaijan Estonia Kazakhstan Russian Federation Tax policy Turkmenistan