04920oam 22012254 450 991078869880332120230828235841.01-4623-4273-61-4527-7435-81-283-51638-197866138288351-4519-0982-9(CKB)3360000000443810(EBL)3014517(SSID)ssj0000940105(PQKBManifestationID)11528468(PQKBTitleCode)TC0000940105(PQKBWorkID)10949252(PQKB)11351997(OCoLC)694141215(MiAaPQ)EBC3014517(IMF)WPIEE2006269(EXLCZ)99336000000044381020020129d2006 uf 0engur|n|---|||||txtccrCurrency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications /Andre Santos, Jorge Chan-LauWashington, D.C. :International Monetary Fund,2006.1 online resource (32 p.)IMF Working Papers"December 2006."1-4518-6529-5 Includes bibliographical references.""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""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.IMF Working Papers; Working Paper ;No. 2006/269CorporationsFinanceDefault (Finance)Exports and ImportsimfFinance: GeneralimfFinancial Risk ManagementimfForeign ExchangeimfMoney and Monetary PolicyimfInternational Financial MarketsimfGeneral Financial Markets: Government Policy and RegulationimfMonetary SystemsimfStandardsimfRegimesimfGovernment and the Monetary SystemimfPayment SystemsimfInternational Lending and Debt ProblemsimfFinanceimfMonetary economicsimfInternational economicsimfCurrencyimfForeign exchangeimfAsset valuationimfCurrency mismatchesimfCurrenciesimfDebt defaultimfExchange ratesimfAsset-liability managementimfFinancial risk managementimfMoneyimfDebts, ExternalimfArgentinaimfCorporationsFinance.Default (Finance)Exports and ImportsFinance: GeneralFinancial Risk ManagementForeign ExchangeMoney and Monetary PolicyInternational Financial MarketsGeneral Financial Markets: Government Policy and RegulationMonetary SystemsStandardsRegimesGovernment and the Monetary SystemPayment SystemsInternational Lending and Debt ProblemsFinanceMonetary economicsInternational economicsCurrencyForeign exchangeAsset valuationCurrency mismatchesCurrenciesDebt defaultExchange ratesAsset-liability managementFinancial risk managementMoneyDebts, ExternalSantos Andre1464131Chan-Lau Jorge1462089DcWaIMFBOOK9910788698803321Currency Mismatches and Corporate Default Risk3673696UNINA