Distance-to-Default in Banking : : A Bridge Too Far? / / Amadou Sy, Jorge Chan-Lau

• Record Nr.: UNINA9910821249503321
• Autore: Sy Amadou
• Pubbl/distr/stampa: Washington, D.C. : , : International Monetary Fund, , 2006
• ISBN: 1-4623-5181-6; 1-4527-7738-1; 1-283-51164-9; 1-4519-0928-4; 9786613824097
• Edizione: [1st ed.]
• Descrizione fisica: 1 online resource (19 p.)
• Collana: IMF Working Papers
• Altri autori (Persone): Chan-LauJorge
• Soggetti: Bank capital - Econometric models; Bank failures - Econometric models; Default (Finance) - Econometric models; Risk - Econometric models; Banks and Banking; Financial Risk Management; Public Finance; Banks; Depository Institutions; Micro Finance Institutions; Mortgages; Financial Institutions and Services: Government Policy and Regulation; Trade Policy; International Trade Organizations; International Financial Markets; Banking; Financial services law & regulation; Public finance & taxation; Economic & financial crises & disasters; Finance; Capital adequacy requirements; Post-clearance customs audit; Deposit insurance; Asset valuation; Banks and banking; Asset requirements; Customs administration; Crisis management; Asset-liability management; United States
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: "September 2006."
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: ""Contents""; ""I. INTRODUCTION""; ""II. WHAT HAPPENS BEFORE A BANK DEFAULT?""; ""III. A UNIFIED FRAMEWORK FOR DISTANCE MEASURES : DISTANCE-TO-CAPITAL""; ""IV. CASE STUDY: THE RESONA AND ASHIKAGA BANKS""; ""V. CONCLUSIONS""; ""REFERENCES""
• Sommario/riassunto: In contrast to corporate defaults, regulators typically take a number of statutory actions to avoid the large fiscal costs associated with bank defaults. The distance-to-default, a widely used market-based measure of corporate default risk, ignores such regulatory actions. To overcome this limitation, this paper introduces the concept of distance-to-capital that accounts for pre-default regulatory actions such as those in a prompt-corrective-actions framework. We show that both risk measures can be analyzed using the same theoretical framework but differ depending on the level of capital adequacy thresholds and asset volatility. We also use the framework to illustrate pre-default regulatory actions in Japan in 2001-03.