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...
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| Andre forfattere: | , , |
| Format: | Tidsskrift |
| Sprog: | English |
| Udgivet: |
Washington, D.C. :
International Monetary Fund,
2004.
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| Serier: | IMF Working Papers; Working Paper ;
No. 2004/121 |
| Online adgang: | Full text available on IMF |