The Contingent Claims Approach to Corporate Vulnerability Analysis [electronic resource] : Estimating Default Risk and Economy-Wide Risk Transfer / Yingbin Xiao.
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TextSeries: IMF Working Papers; Working Paper ; No. 04/121Publication details: Washington, D.C. : International Monetary Fund, 2004Description: 1 online resource (43 p.)ISBN: 1451854412 :ISSN: 1018-5941Subject(s): Capital Markets | Contigent Claims Approach | Contingent Claims Approach | Corporate Sector Vulnerability | Financial Sector | Hedging | Brazil | ThailandAdditional physical formats: Print Version:: The Contingent Claims Approach to Corporate Vulnerability Analysis : Estimating Default Risk and Economy-Wide Risk TransferOnline resources: IMF e-Library | IMF Book Store Abstract: 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.
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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