Distance-to-default in banking : a bridge too far? /

In contrast to corporate defaults, regulators typically take a number of statutory actions to avoid the large fiscal costs associated with bank defaults. The distance-to-default, a widely used market-based measure of corporate default risk, ignores such regulatory actions. To overcome this limitatio...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Chan-Lau, Jorge A. (Autor), Sy, Amadou N. R. (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Financial Systems Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., ©2006.
Colección:IMF working paper ; WP/06/215.
Temas:
Bank capital > Econometric models.
Bank failures > Econometric models.
Default (Finance) > Econometric models.
Risk > Econometric models.
Banques > Faillites > Modèles économétriques.
Banques > Capital > Modèles économétriques.
Défaillance (Finances) > Modèles économétriques.
Risque > Modèles économétriques.
Bank capital > Econometric models
Bank failures > Econometric models
Default (Finance) > Econometric models
Risk > Econometric models
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