The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-wide Risk Transfer
Author | : Michael T. Gapen |
Publisher | : INTERNATIONAL MONETARY FUND |
Total Pages | : 43 |
Release | : 2004-07-01 |
ISBN-10 | : 1451854412 |
ISBN-13 | : 9781451854411 |
Rating | : 4/5 (411 Downloads) |
Download or read book The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-wide Risk Transfer written by Michael T. Gapen and published by INTERNATIONAL MONETARY FUND. This book was released on 2004-07-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 results indicate that the method may prove helpful in identifying corporate sector vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial, and public sectors.