Santos, Andre.
Currency Mismatches and Corporate Default Risk Modeling, Measurement, and Surveillance Applications / Andre Santos. [electronic resource] : Andre Santos. - Washington, D.C. : International Monetary Fund, 2006. - 1 online resource (30 p.) - IMF Working Papers; Working Paper ; No. 06/269 . - IMF Working Papers; Working Paper ; No. 06/269 .
Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed models can be adapted to different exchange rate regimes, are analytically tractable, and can be estimated using available equity price and balance sheet data. The paper provides a detailed explanation on how to calibrate the models and discusses two applications to financial surveillance: the measurement of systematic risk in the corporate sector and the estimation of prudential leverage ratios consistent with regulatory capital ratios in the banking sector.
1451865295 : 18.00 USD
1018-5941
10.5089/9781451865295.001 doi
Bond
Calibration
Currency Mismatch
Default Risk
Diffusion Model
Econometric Estimation
Argentina
Dominican Republic
El Salvador
Currency Mismatches and Corporate Default Risk Modeling, Measurement, and Surveillance Applications / Andre Santos. [electronic resource] : Andre Santos. - Washington, D.C. : International Monetary Fund, 2006. - 1 online resource (30 p.) - IMF Working Papers; Working Paper ; No. 06/269 . - IMF Working Papers; Working Paper ; No. 06/269 .
Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed models can be adapted to different exchange rate regimes, are analytically tractable, and can be estimated using available equity price and balance sheet data. The paper provides a detailed explanation on how to calibrate the models and discusses two applications to financial surveillance: the measurement of systematic risk in the corporate sector and the estimation of prudential leverage ratios consistent with regulatory capital ratios in the banking sector.
1451865295 : 18.00 USD
1018-5941
10.5089/9781451865295.001 doi
Bond
Calibration
Currency Mismatch
Default Risk
Diffusion Model
Econometric Estimation
Argentina
Dominican Republic
El Salvador