Series: IMF Working Papers
Author(s): C. Goodhart , Miguel Segoviano Basurto , and Boris Hofmann
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 September 2006
Keywords: Probability of default, macroeconomic shocks, financial surveillance, banking, bank lending, probability, Econometric Modeling: General, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation
This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the frag...