| 000 | 02493nam a22004334a 4500 | ||
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| 001 | WPIEA2006269 | ||
| 003 | IMF | ||
| 005 | 20190405165100.0 | ||
| 006 | m o d | ||
| 007 | cr cn||||||||| | ||
| 008 | 020129s2006 dcu o i00 0 eng d | ||
| 020 |
_a1451865295 : _c18.00 USD |
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| 020 | _z9781451865295 | ||
| 022 | _a1018-5941 | ||
| 024 | 7 |
_a10.5089/9781451865295.001 _2doi |
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| 035 | _a(IMF)WPIEA2006269 | ||
| 040 |
_aDcWaIMF _beng |
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| 100 | 1 | _aSantos, Andre. | |
| 245 | 1 | 0 |
_aCurrency Mismatches and Corporate Default Risk _h[electronic resource] : _bModeling, Measurement, and Surveillance Applications / _cAndre Santos. |
| 260 |
_aWashington, D.C. : _bInternational Monetary Fund, _c2006. |
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| 300 | _a1 online resource (30 p.) | ||
| 490 | 1 |
_aIMF Working Papers; Working Paper ; _vNo. 06/269 |
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| 520 | 3 | _aCurrency 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. | |
| 588 | _aDescription based on print version record. | ||
| 650 | 7 |
_aBond _2imf |
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| 650 | 7 |
_aCalibration _2imf |
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| 650 | 7 |
_aCurrency Mismatch _2imf |
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| 650 | 7 |
_aDefault Risk _2imf |
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| 650 | 7 |
_aDiffusion Model _2imf |
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| 650 | 7 |
_aEconometric Estimation _2imf |
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| 651 | 7 |
_aArgentina _2imf |
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| 651 | 7 |
_aDominican Republic _2imf |
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| 651 | 7 |
_aEl Salvador _2imf |
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| 700 | 1 | _aChan-Lau, Jorge A. | |
| 700 | 1 | _aSantos, Andre. | |
| 776 | 0 | 8 |
_iPrint Version: _aSantos, Andre. _tCurrency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications _dWashington, D.C. : International Monetary Fund, 2006. _z9781451865295 |
| 830 | 0 |
_aIMF Working Papers; Working Paper ; _vNo. 06/269 |
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| 856 | 4 | 0 |
_uhttp://elibrary.imf.org/view/IMF001/01481-9781451865295/01481-9781451865295/01481-9781451865295.xml _zIMF e-Library |
| 856 | 4 | 0 |
_uhttp://www.imfbookstore.org/IMFORG/9781451865295 _zIMF Book Store |
| 999 |
_c152841 _d152841 |
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