The Contingent Claims Approach To Corporate Vulnerability Analysis
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The Contingent Claims Approach To Corporate Vulnerability Analysis
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Author : Michael Gapen
language : en
Publisher:
Release Date : 2008
The Contingent Claims Approach To Corporate Vulnerability Analysis written by Michael Gapen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
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 M/Risk 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.
The Contingent Claims Approach To Corporate Vulnerability Analysis
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Author :
language : en
Publisher:
Release Date : 2004
The Contingent Claims Approach To Corporate Vulnerability Analysis written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Corporate debt categories.
The Contingent Claims Approach To Corporate Vulnerability Analysis Estimating Default Risk And Economy Wide Risk Transfer
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Author : Michael T. Gapen
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2004-07-01
The Contingent Claims Approach To Corporate Vulnerability Analysis Estimating Default Risk And Economy Wide Risk Transfer written by Michael T. Gapen and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-07-01 with categories.
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.
Contingent Claims Analysis
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Author : Scott P. Mason
language : en
Publisher:
Release Date : 1986
Contingent Claims Analysis written by Scott P. Mason and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with categories.
Contingent Claims Analysis In Corporate Finance
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Author : Gunnar Grass
language : en
Publisher:
Release Date : 2009
Contingent Claims Analysis In Corporate Finance written by Gunnar Grass and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Contingent Claims Analysis Of Corporate Securities
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Author : Ronald D. Meis
language : en
Publisher:
Release Date : 1992
Contingent Claims Analysis Of Corporate Securities written by Ronald D. Meis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Corporations categories.
The Role Of Contingent Claims Analysis In Corporate Finance
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Author : Scott P. Mason
language : en
Publisher:
Release Date : 1984
The Role Of Contingent Claims Analysis In Corporate Finance written by Scott P. Mason and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Contingencies in finance categories.
Probabilistic Approach To Contingent Claims Analysis
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Author : Nicholas Marc Rabeau
language : en
Publisher:
Release Date : 1996
Probabilistic Approach To Contingent Claims Analysis written by Nicholas Marc Rabeau and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Application Of Contingent Claims Analysis In Finance
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Author : Christian Wiehenkamp
language : en
Publisher:
Release Date : 2010
Application Of Contingent Claims Analysis In Finance written by Christian Wiehenkamp and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Measuring And Analyzing Sovereign Risk With Contingent Claims
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Author : Michael T. Gapen
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2005-08-01
Measuring And Analyzing Sovereign Risk With Contingent Claims written by Michael T. Gapen and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-08-01 with categories.
This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive and forward-looking way, the contingent claims approach is used to construct a marked-to-market balance sheet for the sovereign, and derive a set of credit-risk indicators that serve as a barometer of sovereign risk. Applications to 12 emerging market economies show the risk indicators to be robust and highly correlated with market spreads. The framework can help policymakers design risk mitigation strategies and rank policy options using a calibrated structural model unique to each economy.
