UID:
edoccha_9958078246802883
Umfang:
1 online resource (22 pages)
ISBN:
1-4623-8234-7
,
1-4527-5231-1
,
1-281-08982-6
,
1-4518-9272-1
,
9786613775184
Serie:
IMF Working Papers
Inhalt:
We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 banks in 14 emerging market countries. Results show it can predict a bank's credit deterioration up to nine months in advance. The distance-to-default, hence, may prove useful for bank monitoring purposes.
Anmerkung:
Bibliographic Level Mode of Issuance: Monograph
,
English
Weitere Ausg.:
ISBN 1-4518-4521-9
Sprache:
Englisch
