Contingent Claim Analysis¶
Systemic risk based on contingent claims analysis (CCA).
The difference between put price and CDS price as a measure of firm's contribution to systemic risk based on Gray and Jobst (2010).
equity(float) — the market value of the equity of the firm.
volatility(float) — the volatility of equity.
risk_free_rate(float) — the risk-free rate in annualized terms.
default_barrier(float) — the face value of the outstandind debt at maturity.
time_to_maturity(float) — the time to maturity of the debt.
cds_spread(float) — the CDS spread for the firm.
A tuple of put price and the firm's contribution to the systemic risk indicator (put price - CDS put price).
>>> from frds.measures import cca >>> cca( ... equity=5, ... volatility=1.2, ... risk_free_rate=0.02, ... default_barrier=10, ... time_to_maturity=20, ... cds_spread=1.5, ... ) (6.659378336338627, 3.3467523905471133)