<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>In this paper we apply the Contingent Claims Analysis (CCA) to the banking sector in Greece with a particular focus on the years of the Greek debt crisis. Greece was selected primarily because its banking sector was hit hard due to the country’s government debt default and its large exposure to domestic loans. The results obtained on the SIB’s level and on the banking sector level gave us particular insight into the benefits of CCA for micro- and macroprudential policy reasons. The Distance-to-Distress (DtD) risk metric produced is particularly useful for detecting banks’ vulnerabilities and resilience before they are revealed in the market. Moreover, the reduced volatility of DtD time series makes it an ideal candidate for tool predictions purposes and ultimately for policy reasons.</p>
</abstract>

In this paper we apply the Contingent Claims Analysis (CCA) to the banking sector in Greece with a particular focus on the years of the Greek debt crisis. Greece was selected primarily because its banking sector was hit hard due to the country’s government debt default and its large exposure to domestic loans. The results obtained on the SIB’s level and on the banking sector level gave us particular insight into the benefits of CCA for micro- and macroprudential policy reasons. The Distance-to-Distress (DtD) risk metric produced is particularly useful for detecting banks’ vulnerabilities and resilience before they are revealed in the market. Moreover, the reduced volatility of DtD time series makes it an ideal candidate for tool predictions purposes and ultimately for policy reasons.

Importance of the Contingent Claims Analysis in Detecting Banking Risks: Evidence from the Greek Bank Crisis

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution 4.0 International License.

In this paper we apply the Contingent Claims Analysis (CCA) to the banking sector in Greece with a particular focus on the years of the Greek debt crisis....

Importance of the Contingent Claims Analysis in Detecting Banking Risks: Evidence from the Greek Bank Crisis

Published Online: May 24, 2023

Page range: 63 - 82

Received: Dec 04, 2021

Accepted: Jan 19, 2022

DOI: https://doi.org/10.2478/jcbtp-2023-0014

Keywords
Distance-to-Distress, banking risks, Contingent Claims Analysis, Greek crisis

© 2023 Constantinos Kyriakopoulos et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Importance of the Contingent Claims Analysis in Detecting Banking Risks: Evidence from the Greek Bank Crisis

Published Online: May 24, 2023

Page range: 63 - 82

Received: Dec 04, 2021

Accepted: Jan 19, 2022

DOI: https://doi.org/10.2478/jcbtp-2023-0014

KeywordsDistance-to-Distress, banking risks, Contingent Claims Analysis, Greek crisis

© 2023 Constantinos Kyriakopoulos et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Keywords
Distance-to-Distress, banking risks, Contingent Claims Analysis, Greek crisis