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...

Полное описание

Библиографические подробности
Главный автор: Xiao, Yingbin
Другие авторы: Gapen, Michael, Gray, Dale, Lim, Cheng
Формат: Журнал
Язык:English
Опубликовано: Washington, D.C. : International Monetary Fund, 2004.
Серии:IMF Working Papers; Working Paper ; No. 2004/121
Online-ссылка:Full text available on IMF

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