Sökning: "Anna Kulakova"
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1. Stress-testing of the Russian Banking Sector: Contingent Claims Analysis Approach
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This study aims to perform stress-testing of the Russian banking sector with a focus on credit risk measures derived by using contingent claims analysis, an extension of Black-Scholes and Merton option pricing theory. Risk exposure indicators are linked to a number of macroeconomic variables that describe global and domestic economic and financial development. LÄS MER
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