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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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Chan-Lau, Jorge A. (Author), Santos, André (Author)
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