05102oam 22012494 450 991082124950332120240410162838.01-4623-5181-61-4527-7738-11-283-51164-91-4519-0928-49786613824097(CKB)3360000000443403(EBL)3014512(SSID)ssj0000940124(PQKBManifestationID)11576142(PQKBTitleCode)TC0000940124(PQKBWorkID)10939143(PQKB)11621038(OCoLC)694141205(IMF)WPIEE2006215(MiAaPQ)EBC3014512(EXLCZ)99336000000044340320020129d2006 uf 0engurcn|||||||||txtccrDistance-to-Default in Banking : A Bridge Too Far? /Amadou Sy, Jorge Chan-Lau1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (19 p.)IMF Working Papers"September 2006."1-4518-6475-2 Includes bibliographical references.""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""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.IMF Working Papers; Working Paper ;No. 2006/215Bank capitalEconometric modelsBank failuresEconometric modelsDefault (Finance)Econometric modelsRiskEconometric modelsBanks and BankingimfFinancial Risk ManagementimfPublic FinanceimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfFinancial Institutions and Services: Government Policy and RegulationimfTrade PolicyimfInternational Trade OrganizationsimfInternational Financial MarketsimfBankingimfFinancial services law & regulationimfPublic finance & taxationimfEconomic & financial crises & disastersimfFinanceimfCapital adequacy requirementsimfPost-clearance customs auditimfDeposit insuranceimfAsset valuationimfBanks and bankingimfAsset requirementsimfCustoms administrationimfCrisis managementimfAsset-liability managementimfUnited StatesimfBank capitalEconometric models.Bank failuresEconometric models.Default (Finance)Econometric models.RiskEconometric models.Banks and BankingFinancial Risk ManagementPublic FinanceBanksDepository InstitutionsMicro Finance InstitutionsMortgagesFinancial Institutions and Services: Government Policy and RegulationTrade PolicyInternational Trade OrganizationsInternational Financial MarketsBankingFinancial services law & regulationPublic finance & taxationEconomic & financial crises & disastersFinanceCapital adequacy requirementsPost-clearance customs auditDeposit insuranceAsset valuationBanks and bankingAsset requirementsCustoms administrationCrisis managementAsset-liability managementSy Amadou1600333Chan-Lau Jorge1617704International Monetary Fund.Monetary and Financial Systems Dept.DcWaIMFBOOK9910821249503321Distance-to-Default in Banking4125749UNINA