The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-Wide Risk Transfer

In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody''s MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. Th...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
1. Verfasser: Xiao, Yingbin (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Washington, D.C International Monetary Fund 2004
Schriftenreihe:IMF Working Papers Working Paper No. 04/121
Online-Zugang:UBW01
UEI01
LCO01
SBR01
UER01
SBG01
UBG01
FAN01
UBT01
FKE01
UBY01
UBA01
FLA01
UBM01
UPA01
UBR01
FHA01
FNU01
BSB01
TUM01
Volltext
Zusammenfassung:In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody''s MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The results indicate that the method may prove helpful in identifying corporate sector vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial, and public sectors
Beschreibung:1 Online-Ressource (43 p)
ISBN:1451854412
9781451854411

Es ist kein Print-Exemplar vorhanden.

Fernleihe Bestellen Achtung: Nicht im THWS-Bestand! Volltext öffnen