LEADER 04920oam 22012254 450 001 9910788698803321 005 20230828235841.0 010 $a1-4623-4273-6 010 $a1-4527-7435-8 010 $a1-283-51638-1 010 $a9786613828835 010 $a1-4519-0982-9 035 $a(CKB)3360000000443810 035 $a(EBL)3014517 035 $a(SSID)ssj0000940105 035 $a(PQKBManifestationID)11528468 035 $a(PQKBTitleCode)TC0000940105 035 $a(PQKBWorkID)10949252 035 $a(PQKB)11351997 035 $a(OCoLC)694141215 035 $a(MiAaPQ)EBC3014517 035 $a(IMF)WPIEE2006269 035 $a(EXLCZ)993360000000443810 100 $a20020129d2006 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCurrency Mismatches and Corporate Default Risk : $eModeling, Measurement, and Surveillance Applications /$fAndre Santos, Jorge Chan-Lau 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2006. 215 $a1 online resource (32 p.) 225 1 $aIMF Working Papers 300 $a"December 2006." 311 $a1-4518-6529-5 320 $aIncludes bibliographical references. 327 $a""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"" 330 3 $aCurrency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed models can be adapted to different exchange rate regimes, are analytically tractable, and can be estimated using available equity price and balance sheet data. The paper provides a detailed explanation on how to calibrate the models and discusses two applications to financial surveillance: the measurement of systematic risk in the corporate sector and the estimation of prudential leverage ratios consistent with regulatory capital ratios in the banking sector. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2006/269 606 $aCorporations$xFinance 606 $aDefault (Finance) 606 $aExports and Imports$2imf 606 $aFinance: General$2imf 606 $aFinancial Risk Management$2imf 606 $aForeign Exchange$2imf 606 $aMoney and Monetary Policy$2imf 606 $aInternational Financial Markets$2imf 606 $aGeneral Financial Markets: Government Policy and Regulation$2imf 606 $aMonetary Systems$2imf 606 $aStandards$2imf 606 $aRegimes$2imf 606 $aGovernment and the Monetary System$2imf 606 $aPayment Systems$2imf 606 $aInternational Lending and Debt Problems$2imf 606 $aFinance$2imf 606 $aMonetary economics$2imf 606 $aInternational economics$2imf 606 $aCurrency$2imf 606 $aForeign exchange$2imf 606 $aAsset valuation$2imf 606 $aCurrency mismatches$2imf 606 $aCurrencies$2imf 606 $aDebt default$2imf 606 $aExchange rates$2imf 606 $aAsset-liability management$2imf 606 $aFinancial risk management$2imf 606 $aMoney$2imf 606 $aDebts, External$2imf 607 $aArgentina$2imf 615 0$aCorporations$xFinance. 615 0$aDefault (Finance) 615 7$aExports and Imports 615 7$aFinance: General 615 7$aFinancial Risk Management 615 7$aForeign Exchange 615 7$aMoney and Monetary Policy 615 7$aInternational Financial Markets 615 7$aGeneral Financial Markets: Government Policy and Regulation 615 7$aMonetary Systems 615 7$aStandards 615 7$aRegimes 615 7$aGovernment and the Monetary System 615 7$aPayment Systems 615 7$aInternational Lending and Debt Problems 615 7$aFinance 615 7$aMonetary economics 615 7$aInternational economics 615 7$aCurrency 615 7$aForeign exchange 615 7$aAsset valuation 615 7$aCurrency mismatches 615 7$aCurrencies 615 7$aDebt default 615 7$aExchange rates 615 7$aAsset-liability management 615 7$aFinancial risk management 615 7$aMoney 615 7$aDebts, External 700 $aSantos$b Andre$01464131 701 $aChan-Lau$b Jorge$01462089 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788698803321 996 $aCurrency Mismatches and Corporate Default Risk$93673696 997 $aUNINA