05139oam 22013214 450 991097514770332120250426110710.0978661382883597814623427301462342736978145277435014527743589781283516389128351638197814519098211451909829(CKB)3360000000443810(EBL)3014517(SSID)ssj0000940105(PQKBManifestationID)11528468(PQKBTitleCode)TC0000940105(PQKBWorkID)10949252(PQKB)11351997(OCoLC)694141215(IMF)WPIEE2006269(MiAaPQ)EBC3014517(IMF)WPIEA2006269WPIEA2006269(EXLCZ)99336000000044381020020129d2006 uf 0engur|n|---|||||txtccrCurrency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications /Andre Santos, Jorge Chan-Lau1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (32 p.)IMF Working Papers"December 2006."9781451865295 1451865295 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)Asset valuationimfAsset-liability managementimfCurrenciesimfCurrency mismatchesimfCurrencyimfDebt defaultimfDebts, ExternalimfExchange ratesimfExports and ImportsimfFinanceimfFinance: GeneralimfFinancial Risk ManagementimfFinancial risk managementimfForeign ExchangeimfForeign exchangeimfGeneral Financial Markets: Government Policy and RegulationimfGovernment and the Monetary SystemimfInternational economicsimfInternational Financial MarketsimfInternational Lending and Debt ProblemsimfMonetary economicsimfMonetary SystemsimfMoney and Monetary PolicyimfMoneyimfPayment SystemsimfRegimesimfStandardsimfArgentinaimfCorporationsFinance.Default (Finance)Asset valuationAsset-liability managementCurrenciesCurrency mismatchesCurrencyDebt defaultDebts, ExternalExchange ratesExports and ImportsFinanceFinance: GeneralFinancial Risk ManagementFinancial risk managementForeign ExchangeForeign exchangeGeneral Financial Markets: Government Policy and RegulationGovernment and the Monetary SystemInternational economicsInternational Financial MarketsInternational Lending and Debt ProblemsMonetary economicsMonetary SystemsMoney and Monetary PolicyMoneyPayment SystemsRegimesStandardsSantos Andre1816005Chan-Lau Jorge1815656DcWaIMFBOOK9910975147703321Currency Mismatches and Corporate Default Risk4371646UNINA