TY  - BOOK
AU  - Chan-Lau,Jorge A.
AU  - Gravelle,Toni
TI  - The END: A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability 
T2  - IMF Working Papers; Working Paper
SN  - 1451862504 :
SN  - 1018-5941
PY  - 2005///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Corporate Vulnerability
KW  - imf
KW  - Correlation
KW  - Default Probability
KW  - International Finance: General
KW  - Probabilities
KW  - Probability
KW  - Korea, Republic of
KW  - Malaysia
KW  - Thailand
N2  - 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
UR  - http://elibrary.imf.org/view/IMF001/06940-9781451862508/06940-9781451862508/06940-9781451862508.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451862508
ER  -