The contingent claims approach to corporate vulnerability analysis : estimating default risk and economy-wide risk transfer /

The contingent claims approach to corporate vulnerability analysis : estimating default risk and economy-wide risk transfer /

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Bibliographic Details
Author / Creator:	Gapen, Michael, author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2004.
Description:	1 online resource (43 pages)
Language:	English
Series:	IMF working paper ; WP/04/121 IMF working paper ; WP/04/121.
Subject:	Corporate debt -- Econometric models. Risk management -- Econometric models. Corporate debt -- Econometric models. Risk management -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12497189

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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.
ISBN:	1451899785 9781451899788 9781451854411 1451854412
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.
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.
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

Description
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.
Physical Description:	1 online resource (43 pages)
Format:	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.
Bibliography:	Includes bibliographical references (pages 41-43).
ISBN:	1451899785 9781451899788 9781451854411 1451854412