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

6 Pages Posted: 3 Mar 2007

See all articles by Dominik Maltritz

Dominik Maltritz

Dresden University of Technology - Faculty of Economics and Business Management

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Date Written: March 2006

Abstract

The interrelation between currency and debt crises is considered in a model which relies on option pricing theory. This enables us to quantify the probability of financial crises and to study the importance of certain parameters for the occurrence 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 (March 2006). Available at SSRN: https://ssrn.com/abstract=967543 or http://dx.doi.org/10.2139/ssrn.967543

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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