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...

Szczegółowa specyfikacja

Opis bibliograficzny
1. autor: Xiao, Yingbin
Kolejni autorzy: Gapen, Michael, Gray, Dale, Lim, Cheng
Format: Czasopismo
Język:English
Wydane: Washington, D.C. : International Monetary Fund, 2004.
Seria:IMF Working Papers; Working Paper ; No. 2004/121
Dostęp online:Full text available on IMF

Podobne zapisy