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...
Call Number: | Libro Electrónico |
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Main Authors: | , |
Format: | Electronic eBook |
Language: | Inglés |
Published: |
[Washington, D.C.] :
International Monetary Fund, Research Dept.,
©2006.
|
Series: | IMF working paper ;
WP/06/269. |
Subjects: | |
Online Access: | Texto completo |
Table of Contents:
- 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