Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications »
Series: IMF Working Papers
Author(s): Andre Santos , and Jorge Chan-Lau
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 December 2006
Keywords: Default risk, currency mismatch, econometric estimation, financial surveillance, probability, equation, diffusion model, bond, calibration,
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 f...