TY  - BOOK
AU  - Jobert,Arnaud
AU  - Chan-Lau,Jorge A.
AU  - Jobert,Arnaud
AU  - Kong,Janet
TI  - An Option-Based Approach to Bank Vulnerabilities in Emerging Markets
T2  - IMF Working Papers; Working Paper
SN  - 1451845219 :
SN  - 1018-5941
PY  - 2004///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Bank Distress
KW  - imf
KW  - Banking
KW  - Correlation
KW  - Distance-to-Default
KW  - Forecasting
KW  - Probability
KW  - Argentina
KW  - Hong Kong Special Administrative Region of China
KW  - Korea, Republic of
KW  - Thailand
N2  - We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 banks in 14 emerging market countries. Results show it can predict a bank's credit deterioration up to nine months in advance. The distance-to-default, hence, may prove useful for bank monitoring purposes
UR  - http://elibrary.imf.org/view/IMF001/00289-9781451845211/00289-9781451845211/00289-9781451845211.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451845211
ER  -