{
  "title": "Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications",
  "publication": "IMF Working Papers, December 1, 2006",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/currency-mismatches-and-corporate-default-risk-modeling-measurement-and-surveillance-20072",
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  "summary": "Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises.\n- The paper proposes several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure.\n- The proposed models:\n  - can be adapted to different exchange rate regimes,\n  - are analytically tractable, and\n  - can be estimated using available equity price and balance sheet data.\n- The paper provides a detailed explanation on how to calibrate the models.\n- Two applications to financial surveillance are discussed:\n  - the measurement of systematic risk in the corporate sector, and\n  - the estimation of prudential leverage ratios consistent with regulatory capital ratios in the banking sector."
    },
    {
      "heading": "Modeling and Measurement",
      "content": "- Structural models are developed specifically to account for firms with currency mismatches in assets and liabilities.\n- Models are adaptable to different exchange rate regimes.\n- Models are analytically tractable.\n- Estimation is feasible using available equity price and balance sheet data.\n- The paper includes a detailed calibration methodology."
    },
    {
      "heading": "Surveillance Applications and Policy-Relevant Uses",
      "content": "- Measurement of systematic risk in the corporate sector.\n- Estimation of prudential leverage ratios consistent with regulatory capital ratios in the banking sector.\n- These applications are presented as tools for financial surveillance related to currency mismatch–driven default risk."
    },
    {
      "heading": "Publication and Metadata",
      "content": "- Authors: Andre O Santos, Jorge A Chan-Lau\n- Date: December 1, 2006\n- Pages: 30\n- Volume: 2006\n- Issue: 269\n- Series: Working Paper No. 2006/269\n- DOI: https://doi.org/10.5089/9781451865295.001\n- Stock No: WPIEA2006269\n- ISBN: 9781451865295\n- ISSN: 1018-5941\n- Subjects: Asset valuation, Currencies, Currency mismatches, Debt default, Exchange rates\n- Keywords: exchange rate, foreign currency, WP\n\nAndre O Santos, and Jorge A Chan-Lau. \"Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications\", IMF Working Papers 2006, 269 (2006), December 1, 2006.\n\n---\n\n Content in this bundle\n\n- wp06269\n  - wp06269 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp06269 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/currency-mismatches-and-corporate-default-risk-modeling-measurement-and-surveillance-20072"
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    "Authors: Andre O Santos, Jorge A Chan-Lau",
    "Published: December 1, 2006",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451865295.001",
    "Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises.",
    "The paper proposes several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure.",
    "The proposed models:",
    "The paper provides a detailed explanation on how to calibrate the models.",
    "Two applications to financial surveillance are discussed:",
    "Structural models are developed specifically to account for firms with currency mismatches in assets and liabilities.",
    "Models are adaptable to different exchange rate regimes.",
    "Models are analytically tractable.",
    "Estimation is feasible using available equity price and balance sheet data.",
    "The paper includes a detailed calibration methodology.",
    "Measurement of systematic risk in the corporate sector.",
    "Estimation of prudential leverage ratios consistent with regulatory capital ratios in the banking sector.",
    "These applications are presented as tools for financial surveillance related to currency mismatch–driven default risk.",
    "Authors: Andre O Santos, Jorge A Chan-Lau",
    "Date: December 1, 2006",
    "Pages: 30",
    "Volume: 2006",
    "Issue: 269",
    "Series: Working Paper No. 2006/269",
    "DOI: https://doi.org/10.5089/9781451865295.001",
    "Stock No: WPIEA2006269",
    "ISBN: 9781451865295",
    "ISSN: 1018-5941",
    "Subjects: Asset valuation, Currencies, Currency mismatches, Debt default, Exchange rates",
    "Keywords: exchange rate, foreign currency, WP",
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