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.

中文翻译：

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或有债权分析在检测银行业风险中的重要性：来自希腊银行危机的证据

在本文中，我们将或有债权分析 (CCA) 应用于希腊的银行业，特别关注希腊债务危机的年份。之所以选择希腊，主要是因为其银行业因政府债务违约和大量国内贷款而受到重创。在 SIB 层面和银行部门层面获得的结果让我们特别了解 CCA 出于微观和宏观审慎政策原因的好处。生成的遇险距离 (DtD) 风险指标对于在市场上揭示银行的脆弱性和弹性之前检测它们特别有用。此外，DtD 时间序列的波动性降低使其成为工具预测目的和最终出于政策原因的理想候选者。