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An Option-Based Approach to Bank Vulnerabilities in Emerging Markets / Arnaud Jobert, Janet Kong, Jorge Chan-Lau.
- Format:
- Book
- Government document
- Author/Creator:
- Jobert, Arnaud.
- Series:
- IMF Working Papers; Working Paper ; No. 2004/033
- IMF Working Papers
- Language:
- English
- Physical Description:
- 1 online resource (22 pages)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2004.
- Language Note:
- English
- Summary:
- 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.
- Notes:
- Bibliographic Level Mode of Issuance: Monograph
- Description based on print version record.
- ISBN:
- 9786613775184
- 9781462382347
- 1462382347
- 9781452752310
- 1452752311
- 9781281089823
- 1281089826
- 9781451892727
- 1451892721
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