Bottom-Up Default Analysis of Corporate Solvency Risk.:
This paper suggests a novel approach to assess corporate sector solvency risk. The approach uses a Bottom-Up Default Analysis that projects probabilities of default of individual firms conditional on macroeconomic conditions and financial risk factors. This allows a direct macro-financial link to as...
Gespeichert in:
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| Weitere Verfasser: | , |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C. :
International Monetary Fund,
2017.
|
| Schriftenreihe: | IMF working paper ;
WP/17/133. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This paper suggests a novel approach to assess corporate sector solvency risk. The approach uses a Bottom-Up Default Analysis that projects probabilities of default of individual firms conditional on macroeconomic conditions and financial risk factors. This allows a direct macro-financial link to assessing corporate performance and facilitates what-if scenarios. When extended with credit portfolio techniques, the approach can also assess the aggregate impact of changes in firm solvency risk on creditor banks' capital buffers under different macroeconomic scenarios. As an illustration, we apply this approach to the corporate sector of the five largest economies in Latin America. |
| Beschreibung: | 1 online resource (34 pages) |
| ISBN: | 1484304144 9781484304143 |
Internformat
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| 100 | 1 | |a Chan-Lau, Jorge A., |e author. | |
| 245 | 1 | 0 | |a Bottom-Up Default Analysis of Corporate Solvency Risk. |
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| 505 | 0 | |6 880-01 |a Cover; Contents; Abstract; I. Introduction; II. Recent Corporate Debt Developments: LA-5 Countries; A. Financial Ratio Analysis; B. Debt-at-Risk; III. The Bottom-Up Default Analysis (BuDA) Methodology: an Overview; IV. A BuDA Case Study: Adverse Commodity Shocks in LAC-5 Countries; A. Macroeconomic Scenario Design; B. Calculating Bank Provisions and Capital Buffers; V. Concluding Remarks; A. Forecasting Risk Factors; B. Projecting PDs Using BuDA; C. Calculating Bank Provisions and Capital Buffers; Tables; 1. Sustainability of Corporate Debt in the LA-5: Weak Tail Analysis. | |
| 505 | 8 | |a 2: Economy-Wide and Firm-Specific Risk Factors3. Required Provisions and Economic Capital; 4. National Stock Indices and Short-Term Interest Rates; Figures; 1. Bond and Loan Debt by Non-Financial Corporates; 2. LA5: Banks and Non-Financial Corporate Sector; 3. LA-5: Non-Financial Corporate Debt, 2000-15; 4. Debt at Risk; 5. BuDA and Banks' Buffer Needs: Conceptual Approach; 6. Baseline GDP Growth; 7. Distress Scenario Impact on GDP Levels; 8. Baseline and Adverse Scenario: Commodity Prices, Real GDP and USD Exchange Rates; 9. Probability of Default in the Non-Financial Corporate Sector. | |
| 520 | 3 | |a This paper suggests a novel approach to assess corporate sector solvency risk. The approach uses a Bottom-Up Default Analysis that projects probabilities of default of individual firms conditional on macroeconomic conditions and financial risk factors. This allows a direct macro-financial link to assessing corporate performance and facilitates what-if scenarios. When extended with credit portfolio techniques, the approach can also assess the aggregate impact of changes in firm solvency risk on creditor banks' capital buffers under different macroeconomic scenarios. As an illustration, we apply this approach to the corporate sector of the five largest economies in Latin America. | |
| 650 | 0 | |a Corporations |x Finance. |0 http://id.loc.gov/authorities/subjects/sh85032938 | |
| 650 | 0 | |a Financial risk management. |0 http://id.loc.gov/authorities/subjects/sh2005007073 | |
| 650 | 6 | |a Finances |x Gestion du risque. | |
| 650 | 7 | |a Corporations |x Finance |2 fast | |
| 650 | 7 | |a Financial risk management |2 fast | |
| 700 | 1 | |a Lim, Cheng Hoon. | |
| 700 | 1 | |a Rodríguez-Delgado, Jose Daniel. | |
| 758 | |i has work: |a Bottom-Up Default Analysis of Corporate Solvency Risk (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGG77tpGR7RGCqjCyhh9Mq |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Chan-Lau, Jorge A. |t Bottom-Up Default Analysis of Corporate Solvency Risk. |d Washington, D.C. : International Monetary Fund, ©2017 |z 9781484302811 |
| 830 | 0 | |a IMF working paper ; |v WP/17/133. |0 http://id.loc.gov/authorities/names/no89010263 | |
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| 880 | 8 | |6 505-01/(S |a 10. Contributions to Changes in Projected Corporate PDs, 201711: Changes in Projected Corporate PDs (in basis points); 12. Default-other exit-survival tree for firm i, viewed from time t = mΔt; 13: Credit Loss Probability Distribution; References; Annex. | |
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| author | Chan-Lau, Jorge A. |
| author2 | Lim, Cheng Hoon Rodríguez-Delgado, Jose Daniel |
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| contents | Cover; Contents; Abstract; I. Introduction; II. Recent Corporate Debt Developments: LA-5 Countries; A. Financial Ratio Analysis; B. Debt-at-Risk; III. The Bottom-Up Default Analysis (BuDA) Methodology: an Overview; IV. A BuDA Case Study: Adverse Commodity Shocks in LAC-5 Countries; A. Macroeconomic Scenario Design; B. Calculating Bank Provisions and Capital Buffers; V. Concluding Remarks; A. Forecasting Risk Factors; B. Projecting PDs Using BuDA; C. Calculating Bank Provisions and Capital Buffers; Tables; 1. Sustainability of Corporate Debt in the LA-5: Weak Tail Analysis. 2: Economy-Wide and Firm-Specific Risk Factors3. Required Provisions and Economic Capital; 4. National Stock Indices and Short-Term Interest Rates; Figures; 1. Bond and Loan Debt by Non-Financial Corporates; 2. LA5: Banks and Non-Financial Corporate Sector; 3. LA-5: Non-Financial Corporate Debt, 2000-15; 4. Debt at Risk; 5. BuDA and Banks' Buffer Needs: Conceptual Approach; 6. Baseline GDP Growth; 7. Distress Scenario Impact on GDP Levels; 8. Baseline and Adverse Scenario: Commodity Prices, Real GDP and USD Exchange Rates; 9. Probability of Default in the Non-Financial Corporate Sector. |
| ctrlnum | (OCoLC)993053452 |
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| illustrated | Not Illustrated |
| indexdate | 2024-11-26T14:49:28Z |
| institution | BVB |
| isbn | 1484304144 9781484304143 |
| language | English |
| oclc_num | 993053452 |
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| spelling | Chan-Lau, Jorge A., author. Bottom-Up Default Analysis of Corporate Solvency Risk. Washington, D.C. : International Monetary Fund, 2017. 1 online resource (34 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/17/133 Print version record. 880-01 Cover; Contents; Abstract; I. Introduction; II. Recent Corporate Debt Developments: LA-5 Countries; A. Financial Ratio Analysis; B. Debt-at-Risk; III. The Bottom-Up Default Analysis (BuDA) Methodology: an Overview; IV. A BuDA Case Study: Adverse Commodity Shocks in LAC-5 Countries; A. Macroeconomic Scenario Design; B. Calculating Bank Provisions and Capital Buffers; V. Concluding Remarks; A. Forecasting Risk Factors; B. Projecting PDs Using BuDA; C. Calculating Bank Provisions and Capital Buffers; Tables; 1. Sustainability of Corporate Debt in the LA-5: Weak Tail Analysis. 2: Economy-Wide and Firm-Specific Risk Factors3. Required Provisions and Economic Capital; 4. National Stock Indices and Short-Term Interest Rates; Figures; 1. Bond and Loan Debt by Non-Financial Corporates; 2. LA5: Banks and Non-Financial Corporate Sector; 3. LA-5: Non-Financial Corporate Debt, 2000-15; 4. Debt at Risk; 5. BuDA and Banks' Buffer Needs: Conceptual Approach; 6. Baseline GDP Growth; 7. Distress Scenario Impact on GDP Levels; 8. Baseline and Adverse Scenario: Commodity Prices, Real GDP and USD Exchange Rates; 9. Probability of Default in the Non-Financial Corporate Sector. This paper suggests a novel approach to assess corporate sector solvency risk. The approach uses a Bottom-Up Default Analysis that projects probabilities of default of individual firms conditional on macroeconomic conditions and financial risk factors. This allows a direct macro-financial link to assessing corporate performance and facilitates what-if scenarios. When extended with credit portfolio techniques, the approach can also assess the aggregate impact of changes in firm solvency risk on creditor banks' capital buffers under different macroeconomic scenarios. As an illustration, we apply this approach to the corporate sector of the five largest economies in Latin America. Corporations Finance. http://id.loc.gov/authorities/subjects/sh85032938 Financial risk management. http://id.loc.gov/authorities/subjects/sh2005007073 Finances Gestion du risque. Corporations Finance fast Financial risk management fast Lim, Cheng Hoon. Rodríguez-Delgado, Jose Daniel. has work: Bottom-Up Default Analysis of Corporate Solvency Risk (Text) https://id.oclc.org/worldcat/entity/E39PCGG77tpGR7RGCqjCyhh9Mq https://id.oclc.org/worldcat/ontology/hasWork Print version: Chan-Lau, Jorge A. Bottom-Up Default Analysis of Corporate Solvency Risk. Washington, D.C. : International Monetary Fund, ©2017 9781484302811 IMF working paper ; WP/17/133. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1548528 Volltext 505-01/(S 10. Contributions to Changes in Projected Corporate PDs, 201711: Changes in Projected Corporate PDs (in basis points); 12. Default-other exit-survival tree for firm i, viewed from time t = mΔt; 13: Credit Loss Probability Distribution; References; Annex. |
| spellingShingle | Chan-Lau, Jorge A. Bottom-Up Default Analysis of Corporate Solvency Risk. IMF working paper ; Cover; Contents; Abstract; I. Introduction; II. Recent Corporate Debt Developments: LA-5 Countries; A. Financial Ratio Analysis; B. Debt-at-Risk; III. The Bottom-Up Default Analysis (BuDA) Methodology: an Overview; IV. A BuDA Case Study: Adverse Commodity Shocks in LAC-5 Countries; A. Macroeconomic Scenario Design; B. Calculating Bank Provisions and Capital Buffers; V. Concluding Remarks; A. Forecasting Risk Factors; B. Projecting PDs Using BuDA; C. Calculating Bank Provisions and Capital Buffers; Tables; 1. Sustainability of Corporate Debt in the LA-5: Weak Tail Analysis. 2: Economy-Wide and Firm-Specific Risk Factors3. Required Provisions and Economic Capital; 4. National Stock Indices and Short-Term Interest Rates; Figures; 1. Bond and Loan Debt by Non-Financial Corporates; 2. LA5: Banks and Non-Financial Corporate Sector; 3. LA-5: Non-Financial Corporate Debt, 2000-15; 4. Debt at Risk; 5. BuDA and Banks' Buffer Needs: Conceptual Approach; 6. Baseline GDP Growth; 7. Distress Scenario Impact on GDP Levels; 8. Baseline and Adverse Scenario: Commodity Prices, Real GDP and USD Exchange Rates; 9. Probability of Default in the Non-Financial Corporate Sector. Corporations Finance. http://id.loc.gov/authorities/subjects/sh85032938 Financial risk management. http://id.loc.gov/authorities/subjects/sh2005007073 Finances Gestion du risque. Corporations Finance fast Financial risk management fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85032938 http://id.loc.gov/authorities/subjects/sh2005007073 |
| title | Bottom-Up Default Analysis of Corporate Solvency Risk. |
| title_auth | Bottom-Up Default Analysis of Corporate Solvency Risk. |
| title_exact_search | Bottom-Up Default Analysis of Corporate Solvency Risk. |
| title_full | Bottom-Up Default Analysis of Corporate Solvency Risk. |
| title_fullStr | Bottom-Up Default Analysis of Corporate Solvency Risk. |
| title_full_unstemmed | Bottom-Up Default Analysis of Corporate Solvency Risk. |
| title_short | Bottom-Up Default Analysis of Corporate Solvency Risk. |
| title_sort | bottom up default analysis of corporate solvency risk |
| topic | Corporations Finance. http://id.loc.gov/authorities/subjects/sh85032938 Financial risk management. http://id.loc.gov/authorities/subjects/sh2005007073 Finances Gestion du risque. Corporations Finance fast Financial risk management fast |
| topic_facet | Corporations Finance. Financial risk management. Finances Gestion du risque. Corporations Finance Financial risk management |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1548528 |
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