Dale F. Gray

International Monetary Fund (IMF)

700 19th Street NW

Washington, DC 20431

United States

MF Risk

5921 Searl Terrace

Bethesda, MD 20816

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 14,875

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2,666

CITATIONS
Rank 6,037

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Top 6,037

in Total Papers Citations

84

Scholarly Papers (16)

A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy

HBS Finance Working Paper No. 936661
Number of pages: 45 Posted: 11 Oct 2006
Zvi Bodie, Dale F. Gray and Robert C. Merton
Boston University - Department of Finance & Economics, International Monetary Fund (IMF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 657 (31,672)
Citation 19

Abstract:

macrofinancial risks, risk propagation, sovereign risk

A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy

NBER Working Paper No. w12637
Number of pages: 45 Posted: 20 Nov 2006
Zvi Bodie, Dale F. Gray and Robert C. Merton
Boston University - Department of Finance & Economics, International Monetary Fund (IMF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 93 (239,151)
Citation 16

Abstract:

Measuring and Analyzing Sovereign Risk with Contingent Claims

IMF Working Paper No. 05/155
Number of pages: 50 Posted: 03 Mar 2006
International Monetary Fund (IMF) - International Capital Markets Department, International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 359 (68,184)
Citation 25

Abstract:

Sovereign risk, contingent claims, debt sustainability, risk management

Measuring and Analyzing Sovereign Risk with Contingent Claims

IMF Staff Papers, Vol. 55, Issue 1, pp. 109-148, 2008
Number of pages: 40 Posted: 13 Oct 2010
International Monetary Fund (IMF) - International Capital Markets Department, International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 1 (583,556)
Citation 25
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Abstract:

3.

A Risk-Based Debt Sustainability Framework: Incorporating Balance Sheets and Uncertainty

IMF Working Paper No. 08/40
Number of pages: 27 Posted: 18 Feb 2008
International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) and affiliation not provided to SSRN
Downloads 296 (78,263)
Citation 5

Abstract:

Risk management, Public sector, Public debt, Reserve management policy

4.

Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System

IMF Working Paper No. 08/89
Number of pages: 39 Posted: 14 Apr 2008
James P. Walsh and Dale F. Gray
International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 201 (122,006)
Citation 5

Abstract:

Chile

5.

New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability

NBER Working Paper No. w13607
Number of pages: 32 Posted: 27 Nov 2007 Last Revised: 07 Sep 2010
Dale F. Gray, Zvi Bodie and Robert C. Merton
International Monetary Fund (IMF), Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 147 (152,091)
Citation 19

Abstract:

6.

Evaluation of Taxes and Revenues from the Energy Sector in the Baltics, Russia, and Other Former Soviet Union Countries

IMF Working Paper No. 98/34
Number of pages: 78 Posted: 15 Feb 2006
Dale F. Gray
International Monetary Fund (IMF)
Downloads 128 (163,137)
Citation 5

Abstract:

tax policy, petroleum, natural resources, regulation, energy, natural monopoly

7.

Systemic Contingent Claims Analysis – Estimating Market-Implied Systemic Risk

IMF Working Paper No. 13/54
Number of pages: 94 Posted: 15 Mar 2013
Andreas (Andy) Jobst and Dale F. Gray
World Bank Group and International Monetary Fund (IMF)
Downloads 98 (130,148)
Citation 5

Abstract:

8.

How Big Is the Implicit Subsidy for Banks Considered Too Important to Fail?

Chapter 3, Global Financial Stability Report, April 2014
Number of pages: 32 Posted: 02 Apr 2014
International Monetary Fund (IMF), University of Tokyo - Faculty of Economics, International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF) - Monetary and Capital Markets Department
Downloads 87 (149,765)

Abstract:

too-big-to-fail, too-important-to-fail, banks, implicit subsidy, financial reforms

9.

International Transmission of Bank and Corporate Distress

IMF Working Paper No. 10/124
Number of pages: 44 Posted: 02 Jun 2010
International Monetary Fund (IMF) - Monetary and Capital Markets Department, International Monetary Fund (IMF), International Monetary Fund (IMF) - Asia and Pacific Department, International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 84 (217,217)

Abstract:

Banking sector, Corporate sector, Credit risk, Developed countries, Economic models, Emerging markets, Financial risk, Spillovers

10.

Incorporating Financial Sector Risk into Monetary Policy Models: Application to Chile

IMF Working Paper No. 11/228
Number of pages: 35 Posted: 08 Oct 2011
International Monetary Fund (IMF), Universidad Alberto Hurtado, University of Santiago, Chile and International Monetary Fund (IMF)
Downloads 81 (221,665)
Citation 1

Abstract:

11.

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

IMF Working Paper No. 13/218
Number of pages: 63 Posted: 23 Nov 2013
Dale F. Gray
International Monetary Fund (IMF)
Downloads 75 (186,331)

Abstract:

Banking sector, Credit expansion, Sovereign debt, Credit risk, Cross country analysis, Economic models, contingent claims analysis (CCA), global vector autoregression (GVAR)., banking systems, sovereign risk, bank assets, bank capital, bank credit, financial risk, present value, deposit insurance, probability of default, bank liquidity, bank debt, bank bailouts, bank creditors, bank risk, interest expense, bank market, yield to maturity, recapitalization, banking risk, banking sectors, bank spreads

12.

Sovereign and Financial-Sector Risk: Measurement and Interactions

Annual Review of Financial Economics, Vol. 4, pp. 297-312, 2012
Posted: 04 Nov 2012
Dale F. Gray and Samuel W. Malone
International Monetary Fund (IMF) and University of the Andes

Abstract:

13.

Quantifying Systemic Risk and Reconceptualizing the Role of Finance for Economic Growth

Journal Of Investment Management (JOIM), Second Quarter 2010
Posted: 13 Jul 2010
Dale F. Gray
International Monetary Fund (IMF)

Abstract:

Contingent claims analysis (CCA), debt guarantees, systemic risk, systemic CCA

14.

Modeling Financial Crises and Sovereign Risks

Annual Review of Financial Economics, Vol. 1, pp. 117-144, 2009
Posted: 04 Jun 2010
Dale F. Gray
International Monetary Fund (IMF)

Abstract:

15.

New Directions in Financial Sector and Sovereign Risk Management

Journal of Investment Management (JOIM), First Quarter 2010
Posted: 13 Mar 2010 Last Revised: 19 Oct 2010
Dale F. Gray and Andreas (Andy) Jobst
International Monetary Fund (IMF) and World Bank Group

Abstract:

Contingent claims analysis (CCA), default risk, systemic risk, systemic CCA, debt guarantees, sovereign risk, multivariate extreme value distributions

16.

Contingent Claims Approach to Measuring and Managing Sovereign Risk

Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Dale F. Gray, Zvi Bodie and Robert C. Merton
International Monetary Fund (IMF), Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

Contingent claims analysis, sovereignrisk, Merton Model, capital structure arbitrage