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The END

The END »

Source: The END : A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

Volume/Issue: 2005/231

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Toni Gravelle

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2005

ISBN: 9781451862508

Keywords: Corporate Vulnerability, Default Probability, probability, probabilities, correlation, International Finance: General,

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is ge...

Financial Frictions in Data

Financial Frictions in Data »

Source: Financial Frictions in Data : Evidence and Impact

Volume/Issue: 2014/238

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2014

ISBN: 9781484336557

Keywords: Financial Frictions, Bayesian VAR, External Financing Premium, Default risk, Financial shocks, Generalized IRF, DSGE, default, credit spread, maturity

This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector...

Sovereign Ceilings 'Lite'? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies*

Sovereign Ceilings 'Lite'? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies* »

Source: Sovereign Ceilings 'Lite'? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies

Volume/Issue: 2007/75

Series: IMF Working Papers

Author(s): Eduardo Borensztein , Patricio Valenzuela , and Kevin Cowan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2007

ISBN: 9781451866391

Keywords: credit rating, sovereign default, credit rating agencies, current account, external debt, General Financial Markets, Financial Institutions And Services, Corporate Finance And Governance,

Although credit rating agencies have gradually moved away from a policy of never rating a private borrower above the sovereign (the "sovereign ceiling") it appears that sovereign ratings remain a significant determ...

International Transmission of Bank and Corporate Distress

International Transmission of Bank and Corporate Distress »

Source: International Transmission of Bank and Corporate Distress

Volume/Issue: 2010/124

Series: IMF Working Papers

Author(s): Papa N'Diaye , Dale Gray , Natalia Tamirisa , Hiroko Oura , and Qianying Chen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2010

ISBN: 9781455200832

Keywords: bank, corporate, distress, GVAR, financial, international, probability, bank distress, probabilities, bank default

The paper evaluates how increases in banks' and nonfinancial corporates' default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the per...

The END
			: A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

The END : A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability »

Volume/Issue: 2005/231

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Toni Gravelle

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2005

DOI: http://dx.doi.org/10.5089/9781451862508.001

ISBN: 9781451862508

Keywords: Corporate Vulnerability, Default Probability, probability, probabilities, correlation, International Finance: General,

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is ge...

Financial Frictions in Data
			: Evidence and Impact

Financial Frictions in Data : Evidence and Impact »

Volume/Issue: 2014/238

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2014

DOI: http://dx.doi.org/10.5089/9781484336557.001

ISBN: 9781484336557

Keywords: Financial Frictions, Bayesian VAR, External Financing Premium, Default risk, Financial shocks, Generalized IRF, DSGE, default, credit spread, maturity

This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector...

Sovereign Ceilings 'Lite'? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies

Sovereign Ceilings 'Lite'? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies »

Volume/Issue: 2007/75

Series: IMF Working Papers

Author(s): Eduardo Borensztein , Patricio Valenzuela , and Kevin Cowan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2007

DOI: http://dx.doi.org/10.5089/9781451866391.001

ISBN: 9781451866391

Keywords: credit rating, sovereign default, credit rating agencies, current account, external debt, General Financial Markets, Financial Institutions And Services, Corporate Finance And Governance,

Although credit rating agencies have gradually moved away from a policy of never rating a private borrower above the sovereign (the "sovereign ceiling") it appears that sovereign ratings remain a significant determ...

International Transmission of Bank and Corporate Distress

International Transmission of Bank and Corporate Distress »

Volume/Issue: 2010/124

Series: IMF Working Papers

Author(s): Papa N'Diaye , Dale Gray , Natalia Tamirisa , Hiroko Oura , and Qianying Chen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2010

DOI: http://dx.doi.org/10.5089/9781455200832.001

ISBN: 9781455200832

Keywords: bank, corporate, distress, GVAR, financial, international, probability, bank distress, probabilities, bank default

The paper evaluates how increases in banks' and nonfinancial corporates' default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the per...