A new framework for analyzing and managing macrofinancial risks of an economy
By: Dale F. Gray, Robert C. Merton, Zvi Bodie
Contributors: Bodie, Zvi; Harvard Business School. Division of Research
Series: Working paper / Division of Research, Harvard Business School -- 07-026; Working paper (Harvard Business School. Division of Research) -- 07-026
Publisher: Division of Research, Harvard Business School
Published: 2006
Place of publication: Boston]
Language: eng
Number of pages: 46
Description: The high cost of international economic and financial crises highlights the need for a comprehensive framework to assess the robustness of national economic and financial systems. This paper proposes a new comprehensive approach to measure, analyze, and manage macroeconomic risk based on the theory and practice of modern contingent claims analysis (CCA). We illustrate how to use the CCA approach to model and measure sectoral and national risk exposures, and analyze policies to offset their potentially harmful effects.
Notes: "October 10, 2006"--Added t.p.

Includes bibliographical references.