The END [electronic resource] : A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability / Jorge A Chan-Lau.
Material type: TextSeries: IMF Working Papers; Working Paper ; No. 05/231Publication details: Washington, D.C. : International Monetary Fund, 2005Description: 1 online resource (17 p.)ISBN: 1451862504 :ISSN: 1018-5941Subject(s): Corporate Vulnerability | Correlation | Default Probability | International Finance: General | Probabilities | Probability | Korea, Republic of | Malaysia | ThailandAdditional physical formats: Print Version:: The END : A New Indicator of Financial and Nonfinancial Corporate Sector VulnerabilityOnline resources: IMF e-Library | IMF Book Store Abstract: This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is general enough to assess systemic risk in the corporate and financial sectors, as well as systemic sovereign risk; and is also forward looking as it is constructed using information implied by financial securities prices. Using equity prices and balance-sheet data, we calculate the END to assess systemic risk in the corporate sector in Korea, Malaysia, and Thailand. We also discuss how the END systemic risk indicator overcomes some of the shortcomings of other vulnerability indicators.This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is general enough to assess systemic risk in the corporate and financial sectors, as well as systemic sovereign risk; and is also forward looking as it is constructed using information implied by financial securities prices. Using equity prices and balance-sheet data, we calculate the END to assess systemic risk in the corporate sector in Korea, Malaysia, and Thailand. We also discuss how the END systemic risk indicator overcomes some of the shortcomings of other vulnerability indicators.
Description based on print version record.
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