[1. Andruszklewicz O., Mathis, J.,Vassiliadis, M.,Peppas, K. and Gatopoulos, G. (2020) “Study on the Financial Sector in Greece during the economic adjustment programmes: 2010-2018”. European Commission, Final Report.]Search in Google Scholar
[2. Antoniadis, I., Alexandridis, A. and Sariannidis, N. (2014). “Mergers and acquisitions in the Greek banking sector: An event study of a proposal”. Procedia Economics and Finance 14, pp. 13–22.]Search in Google Scholar
[3. Antunes, A. and Silva, N. (2010). “An Application of Contingent Claim Analysis to the Portuguese Banking System”. In: Financial Stability Report. May 2010 141, pp. 603–626.]Search in Google Scholar
[4. Bharath, S. T. and Shumway T. (2008). “Forecasting default with the Merton distance to default model”, The Review of Financial Studies 21.3, pp. 1339–1369.]Search in Google Scholar
[5. Black, F. and Scholes M. (1973). “The pricing of options and corporate liabilities”, Journal of political economy 81.3, pp. 637–654.]Search in Google Scholar
[6. Bodie, Z. and Briere, M. (2013). “Sovereign wealth and risk management: a framework for optimal asset allocation of sovereign wealth”, Boston U. School of Management Research Paper 2011-8.]Search in Google Scholar
[7. Brière, Marie, Benno Ferrarini, and Arief Ramayandi (2016). “Contingent Claims Analysis of Sovereign Debt Sustainability in Asian Emerging Markets”, Asian Development Bank Economics Working Paper Series 486.]Search in Google Scholar
[8. Cheng, G. (2020). “The 2012 private sector involvement in Greece”, Publication Office of the European Union, Discussion paper, No 11.Crosbie, Peter and Jeff Bohn (2003). “Modeling default risk”. Moody’s KMV]Search in Google Scholar
[9. Crosbie, Peter and Jeffrey Bohn (2019). Modeling default risk. World Scientific, pp. 471–506.]Search in Google Scholar
[10. Dees, S., Henry, J. and Martin, R. (2017). Stress-Test Analytics for stress Policies in the euro era. European Central Bank.]Search in Google Scholar
[11. Gapen, M. T., Gray D., Lim C. and Xiao Y. (2004). “The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-wide Risk Transfer”, Corporate Restructuring: Lessons from Experience. The World Bank Group: Washington, DC, pp. 261–300.]Search in Google Scholar
[12. Gapen, M.T., Gray D., Lim C. and Xiao Y. (2008). “Measuring and analyzing sovereign risk with contingent claims”. IMF Staff Papers 55.1, pp. 109–148.]Search in Google Scholar
[13. Gray, D. and Jobst, A. A. (2010). “Systemic CCA-a model approach to systemic risk”, Deutsche Bundesbank/Technische Universität Dresden Conference: Beyond the Financial Crisis: Systemic Risk, Spillovers and Regulation, Dresden. Citeseer.]Search in Google Scholar
[14. Gray, D. and Malone, S. (2008). Macrofinancial risk analysis. Vol. 433. John Wiley & Sons.]Search in Google Scholar
[15. Gray, D., Gross, M., Paredes, J. and Sydow M. (2013). Modeling banking, sovereign, and macro risk in a CCA global VAR. 13-218. International Monetary Fund.]Search in Google Scholar
[16. Gray, D. F. and Jobst, A. A. (2011). “Modelling systemic financial sector and sovereign risk”, sveriges riksbank economic review 2.68, p. 106.]Search in Google Scholar
[17. Gray, D. F., Merton, R. C. and Bodie, Z. (2007). Contingent claims approach to measuring and managing sovereign credit risk. Journal of Investment Management, 5(4), 5.]Search in Google Scholar
[18. Gray, D, Merton, R. C. and Bodie, Z. (2007b). “New framework for measuring and managing macrofinancial risk and financial stability”. “National Bureau of Economic Research”, Research Working Paper 13607.]Search in Google Scholar
[19. Jessen, C. and Lando, D. (2015). “Robustness of distance-to-default”, Journal of Banking & Finance 50, pp. 493–505.]Search in Google Scholar
[20. Karatzas, I. and Shreve, S. (1991). Brownian Motion and Stochastic Calculus. Vol. 113. Springer.]Search in Google Scholar
[21. Keller, C., Kunzel, P. and Souto, M. (2007). Measuring sovereign risk in Turkey: an application of the contingent claims approach. 7-233. International Monetary Fund.]Search in Google Scholar
[22. Lai, W-N. (2016). “Evaluating the sovereign and credit risk in Singapore: A Continent Claims Approach”. Research in International Business and Finance 37, pp. 435–447.]Search in Google Scholar
[23. Merton, R. C. (1973). “Theory of rational option pricing”. In: Theory of Valuation, pp. 229–288. Nagel, Nagel, S. and Purnanandam, A. (2019). Bank risk dynamics and distance to default. Tech. rep. National Bureau of Economic Research.]Search in Google Scholar
[24. Romero, L. C., Gonza’lez, E. G., Quintero, M. L. and Mosquera, M. A. M. (2013). “Measuring systemic risk in the Colombian financial system: a systemic contingent claims approach”. Journal of Risk Management in Financial Institutions 6.3, pp. 253–279.]Search in Google Scholar
[25. Taruna, A. A., Harun, C. A. and Nattan, R. R. (2020). “Macroprudential Liquidity Stress Test: An Application to Indonesian Banks. Journal of Central Banking Theory and Practice (9).special issue(2020): 165-187.]Search in Google Scholar
[26. Rakotonirainy, M., Razafindravonona, J. and Rasolomanana, C. (2020) “Macro stress testing credit risk: Case of Madagascar banking sector.” Journal of Central Banking Theory and Practice 9.2: 199-218.]Search in Google Scholar
[27. Salleo, C., Grassi, A. and Kyriakopoulos, C. (2020). “A Comprehensive approach for Calculating Banking Sector Risks”. International Journal of Financial Studies 8.4, pp. 1–21.]Search in Google Scholar
[28. Siuda, V. and Szabo, M. (2021). Measuring Sovereign Credit Risk of the EU countries 1. Journal of Central Banking Theory and Practice, 10(3), 169-192.]Search in Google Scholar
