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

 
Author/Editor: Chan-Lau, Jorge A. ; Gravelle, Toni
 
Publication Date: December 01, 2005
 
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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: 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 general enough to assess systemic risk in the corporate and financial sectors, as well as systemic sovereign risk; and is also forward looking as it is constructed using information implied by financial securities prices. Using equity prices and balance-sheet data, we calculate the END to assess systemic risk in the corporate sector in Korea, Malaysia, and Thailand. We also discuss how the END systemic risk indicator overcomes some of the shortcomings of other vulnerability indicators.
 
Series: Working Paper No. 05/231
Subject(s): Risk premium | Korea, Republic of | Malaysia | Thailand | Credit | Financial sector | Corporate sector

Author's Keyword(s): Systemic risk | Credit Risk | Corporate Vulnerability | Default Probability
 
English
Publication Date: December 01, 2005
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA2005231 Pages: 17
Price:
US$15.00 (Academic Rate:
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