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150128 ||| eng |
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|a 9781451864755
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100 |
1 |
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|a Sy, Amadou
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245 |
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|a Distance-to-Default in Banking
|b A Bridge Too Far?
|c Amadou Sy, Jorge Chan-Lau
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260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2006
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300 |
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|a 17 pages
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651 |
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4 |
|a United States
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653 |
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|a Economic & financial crises & disasters
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653 |
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|a Depository Institutions
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653 |
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|a Asset requirements
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653 |
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|a Capital adequacy requirements
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653 |
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|a Banks
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653 |
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|a Asset valuation
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653 |
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|a Finance
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653 |
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|a International Trade Organizations
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653 |
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|a Public finance & taxation
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653 |
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|a Banks and banking
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653 |
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|a Trade Policy
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653 |
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|a Micro Finance Institutions
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653 |
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|a Deposit insurance
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653 |
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|a Crisis management
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653 |
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|a Financial Institutions and Services: Government Policy and Regulation
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653 |
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|a Mortgages
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653 |
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|a International Financial Markets
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653 |
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|a Banks and Banking
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653 |
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|a Asset-liability management
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653 |
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|a Post-clearance customs audit
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653 |
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|a Banking
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653 |
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|a Financial Risk Management
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653 |
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|a Public Finance
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653 |
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|a Financial services law & regulation
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653 |
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|a Customs administration
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700 |
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|a Chan-Lau, Jorge
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041 |
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7 |
|a eng
|2 ISO 639-2
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|b IMF
|a International Monetary Fund
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490 |
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|a IMF Working Papers
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028 |
5 |
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|a 10.5089/9781451864755.001
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856 |
4 |
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|u https://elibrary.imf.org/view/journals/001/2006/215/001.2006.issue-215-en.xml?cid=19863-com-dsp-marc
|x Verlag
|3 Volltext
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|a 330
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|a 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
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