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Record Nr. |
UNINA9910968751003321 |
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Autore |
Sy Amadou |
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Titolo |
Distance-to-Default in Banking : : A Bridge Too Far? / / Amadou Sy, Jorge Chan-Lau |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2006 |
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ISBN |
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9786613824097 |
9781462351817 |
1462351816 |
9781452777382 |
1452777381 |
9781283511643 |
1283511649 |
9781451909289 |
1451909284 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (19 p.) |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Bank capital - Econometric models |
Bank failures - Econometric models |
Default (Finance) - Econometric models |
Risk - Econometric models |
Asset requirements |
Asset valuation |
Asset-liability management |
Banking |
Banks and Banking |
Banks and banking |
Banks |
Capital adequacy requirements |
Crisis management |
Customs administration |
Deposit insurance |
Depository Institutions |
Economic & financial crises & disasters |
Finance |
Financial Institutions and Services: Government Policy and Regulation |
Financial Risk Management |
Financial services law & regulation |
International Financial Markets |
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International Trade Organizations |
Micro Finance Institutions |
Mortgages |
Post-clearance customs audit |
Public finance & taxation |
Public Finance |
Trade Policy |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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""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"" |
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Sommario/riassunto |
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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. |
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