The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-wide Risk Transfer

 
Author/Editor: Gapen, Michael T. ; Gray, Dale F. ; Xiao, Yingbin ; Lim, Cheng Hoon
 
Publication Date: July 01, 2004
 
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
 
Summary: In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The results indicate that the method may prove helpful in identifying corporate sector vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial, and public sectors.
 
Series: Working Paper No. 04/121
Subject(s): Credit | Brazil | Thailand | Risk premium | Financial sector | Public sector | Economic models

Author's Keyword(s): Contigent claims approach | Corporate sector vulnerability | Credit risk
 
English
Publication Date: July 01, 2004
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA1212004 Pages: 43
Price:
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