The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-wide Risk Transfer

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Price:  $15.00

Author/Editor: Michael T. Gapen, Yingbin Xiao, Cheng Hoon Lim, Dale F. Gray
Release Date: © July, 2004
ISBN : 978-1-45185-441-1
Stock #: WPIEA1212004
English
Stock Status: Available

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Description

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.

Taxonomy

Economic sectors , Public sector




More publications in this series: Working Papers


More publications by: Michael T. Gapen ; Yingbin Xiao ; Cheng Hoon Lim ; Dale F. Gray