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|z 9781451845211
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|a Jobert, Arnaud.
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|a An Option-Based Approach to Bank Vulnerabilities in Emerging Markets /
|c Arnaud Jobert, Janet Kong, Jorge Chan-Lau.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2004.
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|a 1 online resource (22 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 banks in 14 emerging market countries. Results show it can predict a bank's credit deterioration up to nine months in advance. The distance-to-default, hence, may prove useful for bank monitoring purposes.
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|a Mode of access: Internet
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|a Chan-Lau, Jorge.
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|a Kong, Janet.
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|a IMF Working Papers; Working Paper ;
|v No. 2004/033
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2004/033/001.2004.issue-033-en.xml
|z IMF e-Library
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