05301oam 22013334 450 991096875100332120250426110510.0978661382409797814623518171462351816978145277738214527773819781283511643128351164997814519092891451909284(CKB)3360000000443403(EBL)3014512(SSID)ssj0000940124(PQKBManifestationID)11576142(PQKBTitleCode)TC0000940124(PQKBWorkID)10939143(PQKB)11621038(OCoLC)694141205(IMF)WPIEE2006215(MiAaPQ)EBC3014512(IMF)WPIEA2006215WPIEA2006215(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."9781451864755 1451864752 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 modelsAsset requirementsimfAsset valuationimfAsset-liability managementimfBankingimfBanks and BankingimfBanks and bankingimfBanksimfCapital adequacy requirementsimfCrisis managementimfCustoms administrationimfDeposit insuranceimfDepository InstitutionsimfEconomic & financial crises & disastersimfFinanceimfFinancial Institutions and Services: Government Policy and RegulationimfFinancial Risk ManagementimfFinancial services law & regulationimfInternational Financial MarketsimfInternational Trade OrganizationsimfMicro Finance InstitutionsimfMortgagesimfPost-clearance customs auditimfPublic finance & taxationimfPublic FinanceimfTrade PolicyimfUnited StatesimfBank capitalEconometric models.Bank failuresEconometric models.Default (Finance)Econometric models.RiskEconometric models.Asset requirementsAsset valuationAsset-liability managementBankingBanks and BankingBanks and bankingBanksCapital adequacy requirementsCrisis managementCustoms administrationDeposit insuranceDepository InstitutionsEconomic & financial crises & disastersFinanceFinancial Institutions and Services: Government Policy and RegulationFinancial Risk ManagementFinancial services law & regulationInternational Financial MarketsInternational Trade OrganizationsMicro Finance InstitutionsMortgagesPost-clearance customs auditPublic finance & taxationPublic FinanceTrade PolicySy Amadou1805363Chan-Lau Jorge1815656International Monetary Fund.Monetary and Financial Systems Dept.DcWaIMFBOOK9910968751003321Distance-to-Default in Banking4371625UNINA