LEADER 05082oam 22012374 450 001 9910788415103321 005 20230828232707.0 010 $a1-4623-5181-6 010 $a1-4527-7738-1 010 $a1-283-51164-9 010 $a1-4519-0928-4 010 $a9786613824097 035 $a(CKB)3360000000443403 035 $a(EBL)3014512 035 $a(SSID)ssj0000940124 035 $a(PQKBManifestationID)11576142 035 $a(PQKBTitleCode)TC0000940124 035 $a(PQKBWorkID)10939143 035 $a(PQKB)11621038 035 $a(OCoLC)694141205 035 $a(MiAaPQ)EBC3014512 035 $a(IMF)WPIEE2006215 035 $a(EXLCZ)993360000000443403 100 $a20020129d2006 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aDistance-to-Default in Banking : $eA Bridge Too Far? /$fAmadou Sy, Jorge Chan-Lau 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2006. 215 $a1 online resource (19 p.) 225 1 $aIMF Working Papers 300 $a"September 2006." 311 $a1-4518-6475-2 320 $aIncludes bibliographical references. 327 $a""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"" 330 3 $aIn contrast to corporate defaults, regulators typically take a number of statutory actions to avoid the large fiscal costs associated with bank defaults. The distance-to-default, a widely used market-based measure of corporate default risk, ignores such regulatory actions. To overcome this limitation, this paper introduces the concept of distance-to-capital that accounts for pre-default regulatory actions such as those in a prompt-corrective-actions framework. We show that both risk measures can be analyzed using the same theoretical framework but differ depending on the level of capital adequacy thresholds and asset volatility. We also use the framework to illustrate pre-default regulatory actions in Japan in 2001-03. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2006/215 606 $aBank capital$xEconometric models 606 $aBank failures$xEconometric models 606 $aDefault (Finance)$xEconometric models 606 $aRisk$xEconometric models 606 $aBanks and Banking$2imf 606 $aFinancial Risk Management$2imf 606 $aPublic Finance$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aFinancial Institutions and Services: Government Policy and Regulation$2imf 606 $aTrade Policy$2imf 606 $aInternational Trade Organizations$2imf 606 $aInternational Financial Markets$2imf 606 $aBanking$2imf 606 $aFinancial services law & regulation$2imf 606 $aPublic finance & taxation$2imf 606 $aEconomic & financial crises & disasters$2imf 606 $aFinance$2imf 606 $aCapital adequacy requirements$2imf 606 $aPost-clearance customs audit$2imf 606 $aDeposit insurance$2imf 606 $aAsset valuation$2imf 606 $aBanks and banking$2imf 606 $aAsset requirements$2imf 606 $aCustoms administration$2imf 606 $aCrisis management$2imf 606 $aAsset-liability management$2imf 607 $aUnited States$2imf 615 0$aBank capital$xEconometric models. 615 0$aBank failures$xEconometric models. 615 0$aDefault (Finance)$xEconometric models. 615 0$aRisk$xEconometric models. 615 7$aBanks and Banking 615 7$aFinancial Risk Management 615 7$aPublic Finance 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aFinancial Institutions and Services: Government Policy and Regulation 615 7$aTrade Policy 615 7$aInternational Trade Organizations 615 7$aInternational Financial Markets 615 7$aBanking 615 7$aFinancial services law & regulation 615 7$aPublic finance & taxation 615 7$aEconomic & financial crises & disasters 615 7$aFinance 615 7$aCapital adequacy requirements 615 7$aPost-clearance customs audit 615 7$aDeposit insurance 615 7$aAsset valuation 615 7$aBanks and banking 615 7$aAsset requirements 615 7$aCustoms administration 615 7$aCrisis management 615 7$aAsset-liability management 700 $aSy$b Amadou$01462056 701 $aChan-Lau$b Jorge$01462089 712 02$aInternational Monetary Fund.$bMonetary and Financial Systems Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788415103321 996 $aDistance-to-Default in Banking$93802287 997 $aUNINA