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The Contingent Claims Approach to Corporate Vulnerability Analysis Estimating Default Risk and Economy-Wide Risk Transfer

In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The resu...

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Bibliographic Details
Main Author: Xiao, Yingbin
Other Authors: Gray, Dale, Lim, Cheng, Gapen, Michael
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2004
Series:IMF Working Papers
Subjects:
Finance, Public
Public Administration
Public-private Enterprises
Asset Valuation
Finance
Industries: Financial Services
Financial Statements
Public Enterprises
Public Sector
Ownership & Organization Of Enterprises
Corporate Finance And Governance: General
Corporate Finance
Business Enterprises
Corporate Sector
International Financial Markets
Accounting
Asset-liability Management
Finance, Public; Accounting
Financial Institutions And Services: General
Public Sector Accounting And Audits
Civil Service & Public Sector
Financial Services Industry
Macroeconomics
Financial Reporting, Financial Statements
Financial Risk Management
Financial Sector
Thailand
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The results indicate that the method may prove helpful in identifying corporate sector vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial, and public sectors
Physical Description:43 pages
ISBN:9781451854411

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