Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications /

Currency 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...

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Bibliografiske detaljer
Hovedforfatter: Santos, Andre
Andre forfattere: Chan-Lau, Jorge
Format: Tidsskrift
Sprog:English
Udgivet: Washington, D.C. : International Monetary Fund, 2006.
Serier:IMF Working Papers; Working Paper ; No. 2006/269
Online adgang:Full text available on IMF