Hidden Bibliographic Details
| Other authors / contributors: | Gray, Dale, 1953- author.
Lim, C. H. (Cheng Hoon), author.
Xiao, Yingbin, author.
International Monetary Fund. International Capital Markets Department, issuing body.
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| ISBN: | 1451899785
9781451899788
9781451854411
1451854412
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| Notes: | Includes bibliographical references (pages 41-43).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | 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.
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| Other form: | Print version: Gapen, Michael. Contingent claims approach to corporate vulnerability analysis. [Washington, D.C.] : International Monetary Fund, ©2004
Print version: Contingent claims approach to corporate vulnerability analysis. [Washington, D.C.] : International Monetary Fund, ©2004
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