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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...

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets1

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets1 »

Source: An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Volume/Issue: 2004/33

Series: IMF Working Papers

Author(s): Arnaud Jobert , Janet Kong , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

ISBN: 9781451845211

Keywords: Distance-to-default, forecasting, banking, correlation, bank distress, probability,

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and...

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance »

Source: Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Volume/Issue: 2006/104

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863642

Keywords: Default probability, security prices, financial surveillance, probabilities, probability, bond, equation, credit derivatives,

This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and...

Sovereign Default, Private Sector Creditors and the IFIs

Sovereign Default, Private Sector Creditors and the IFIs »

Source: Sovereign Default, Private Sector Creditors and the IFIs

Volume/Issue: 2009/46

Series: IMF Working Papers

Author(s): Emine Boz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

ISBN: 9781451871944

Keywords: sovereign debt and default, IFIs, debt, commercial debt, creditors, interest, private sector creditors,

This paper builds a model of a sovereign borrower that has access to credit from private sector creditors and an IFI. Private sector creditors and the IFI offer different debt contracts that are modelled based on t...

Rating the Rating Agencies

Rating the Rating Agencies »

Source: Rating the Rating Agencies : Anticipating Currency Crises or Debt Crises?

Volume/Issue: 2003/122

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451854510

Keywords: Crisis, distress, early-warning systems, probability of default, ratings, currency crises, currency crisis, debt crises, bond, sovereign default

In contrast to the early-warning system literature, we find that currency and debt crises are not closely linked in emerging markets. We find that after 1994, credit ratings predict debt crises but fail to anticipa...

Default, Credit Growth, and Asset Prices

Default, Credit Growth, and Asset Prices »

Source: Default, Credit Growth, and Asset Prices

Volume/Issue: 2006/223

Series: IMF Working Papers

Author(s): C. Goodhart , Miguel Segoviano Basurto , and Boris Hofmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

ISBN: 9781451864830

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...

Predicting Sovereign Debt Crises

Predicting Sovereign Debt Crises »

Source: Predicting Sovereign Debt Crises

Volume/Issue: 2003/221

Series: IMF Working Papers

Author(s): Axel Schimmelpfennig , Nouriel Roubini , and Paolo Manasse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2003

ISBN: 9781451875256

Keywords: Early-warning system, sovereign debt crises, sovereign default, debt crisis, external debt, debt crises, short-term debt, currency crisis, General Outlook and Conditions, Forecasting and Other Model Applications

We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard & Poor's, or if it has access to nonconcessional IMF finan...

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...

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets »

Volume/Issue: 2004/33

Series: IMF Working Papers

Author(s): Arnaud Jobert , Janet Kong , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

DOI: http://dx.doi.org/10.5089/9781451845211.001

ISBN: 9781451845211

Keywords: Distance-to-default, forecasting, banking, correlation, bank distress, probability,

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and...

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance »

Volume/Issue: 2006/104

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

DOI: http://dx.doi.org/10.5089/9781451863642.001

ISBN: 9781451863642

Keywords: Default probability, security prices, financial surveillance, probabilities, probability, bond, equation, credit derivatives,

This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and...