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...

Täydet tiedot

Bibliografiset tiedot
Päätekijä: Xiao, Yingbin
Muut tekijät: Gapen, Michael, Gray, Dale, Lim, Cheng
Aineistotyyppi: Aikakauslehti
Kieli:English
Julkaistu: Washington, D.C. : International Monetary Fund, 2004.
Sarja:IMF Working Papers; Working Paper ; No. 2004/121
Linkit:Full text available on IMF