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Record Nr. |
UNINA9910975147703321 |
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Autore |
Santos Andre |
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Titolo |
Currency Mismatches and Corporate Default Risk : : Modeling, Measurement, and Surveillance Applications / / Andre Santos, 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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9786613828835 |
9781462342730 |
1462342736 |
9781452774350 |
1452774358 |
9781283516389 |
1283516381 |
9781451909821 |
1451909829 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (32 p.) |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Corporations - Finance |
Default (Finance) |
Asset valuation |
Asset-liability management |
Currencies |
Currency mismatches |
Currency |
Debt default |
Debts, External |
Exchange rates |
Exports and Imports |
Finance |
Finance: General |
Financial Risk Management |
Financial risk management |
Foreign Exchange |
Foreign exchange |
General Financial Markets: Government Policy and Regulation |
Government and the Monetary System |
International economics |
International Financial Markets |
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International Lending and Debt Problems |
Monetary economics |
Monetary Systems |
Money and Monetary Policy |
Money |
Payment Systems |
Regimes |
Standards |
Argentina |
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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. WHY DO CURRENCY MISMATCHES MATTER?""; ""III. THE STRUCTURAL APPROACH TO DEFAULT RISK""; ""IV. THE DIFUSSION MODEL""; ""V. THE JUMP-DIFFUSION MODEL""; ""VI. THE DOUBLE EXPONENTIAL JUMP-DIFFUSION MODEL""; ""VII. SURVEILLANCE APPLICATIONS""; ""VIII. CONCLUSIONS""; ""REFERENCES"" |
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Sommario/riassunto |
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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. The proposed models can be adapted to different exchange rate regimes, are analytically tractable, and can be estimated using available equity price and balance sheet data. The paper provides a detailed explanation on how to calibrate the models and discusses two applications to financial surveillance: the measurement of systematic risk in the corporate sector and the estimation of prudential leverage ratios consistent with regulatory capital ratios in the banking sector. |
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