The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macr

Black and Scholes (1973) and Merton (1974) (hereafter referred to as BSM) introduced the contingent claim approach (CCA) to the valuation of corporate debt and

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This pap

The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analy

In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor s