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This paper introduces the Asset and Liability Management (ALM) compound option model. The model...

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral...

Loss of market access (LMA) is a central element and an exacerbator of balance of payments and...

Under adverse macroeconomic conditions, the potential realization of corporate sector...

The paper finds that, given Australia's conservative approach in implementing the Basel II...

We show that cross-country differences in the underlying volatility and persistence of...