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Currency mismatches and corporate default risk : modeling, measurement, and surveillance applications /
Currency 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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund, Research Dept.,
©2006.
|
| Colección: | IMF working paper ;
WP/06/269. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Chan-Lau, Jorge A., |e author. | |
| 245 | 1 | 0 | |a Currency mismatches and corporate default risk : |b modeling, measurement, and surveillance applications / |c prepared by Jorge A. Chan-Lau and Andre O. Santos. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, Research Dept., |c ©2006. | ||
| 300 | |a 1 online resource (30 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a IMF working paper ; |v WP/06/269 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a Currency 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. | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a Contents -- I. INTRODUCTION -- II. WHY DO CURRENCY MISMATCHES MATTER? -- III. THE STRUCTURAL APPROACH TO DEFAULT RISK -- IV. THE DIFUSSION MODEL -- V. THE JUMP-DIFFUSION MODEL -- VI. THE DOUBLE EXPONENTIAL JUMP-DIFFUSION MODEL -- VII. SURVEILLANCE APPLICATIONS -- VIII. CONCLUSIONS -- REFERENCES | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Corporations |x Finance. | |
| 650 | 0 | |a Default (Finance) | |
| 650 | 0 | |a Default (Finance) |x Econometric models. | |
| 650 | 0 | |a Loans, Foreign |x Econometric models. | |
| 650 | 0 | |a Financial crises |x Econometric models. | |
| 650 | 6 | |a Défaillance (Finances) |x Modèles économétriques. | |
| 650 | 6 | |a Taux de change |x Modèles économétriques. | |
| 650 | 6 | |a Prêts étrangers |x Modèles économétriques. | |
| 650 | 6 | |a Crises financières |x Modèles économétriques. | |
| 650 | 6 | |a Défaillance (Finances) | |
| 650 | 7 | |a Loans, Foreign |x Econometric models |2 fast | |
| 650 | 7 | |a Financial crises |x Econometric models |2 fast | |
| 650 | 7 | |a Default (Finance) |x Econometric models |2 fast | |
| 650 | 7 | |a Corporations |x Finance |2 fast | |
| 650 | 7 | |a Default (Finance) |2 fast | |
| 700 | 1 | |a Santos, André, |e author. | |
| 758 | |i has work: |a Currency mismatches and corporate default risk (Text) |1 https://id.oclc.org/worldcat/entity/E39PCFDJBmpWbdmKYxcFKjbV3P |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Chan-Lau, Jorge A. |t Currency mismatches and corporate default risk. |d [Washington, D.C.] : International Monetary Fund, ©2006 |w (OCoLC)144528823 |
| 830 | 0 | |a IMF working paper ; |v WP/06/269. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3014517 |z Texto completo |
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