Modelling the Dependency between Currency and Debt Crises: An Option Based Approach

6 Pages Posted: 19 Feb 2009

See all articles by Dominik Maltritz

Dominik Maltritz

Dresden University of Technology - Faculty of Economics and Business Management

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Date Written: February 15, 2009

Abstract

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.

Keywords: Financial crisis, Sovereign risk, Option pricing theory, Crisis probability

JEL Classification: G15, F34, F47

Suggested Citation

Maltritz, Dominik, Modelling the Dependency between Currency and Debt Crises: An Option Based Approach (February 15, 2009). Available at SSRN: https://ssrn.com/abstract=1343973 or http://dx.doi.org/10.2139/ssrn.1343973

Dominik Maltritz (Contact Author)

Dresden University of Technology - Faculty of Economics and Business Management ( email )

Mommsenstrasse 13
Dresden, D-01062
Germany

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