The Contingent Claims Approach to Corporate Vulnerability Analysis : Estimating Default Risk and Economy-Wide Risk Transfer »
Series: IMF Working Papers
Author(s): Yingbin Xiao , Dale Gray , Cheng Lim , and Michael Gapen
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 July 2004
Keywords: Contingent claims approach, Corporate sector vulnerability, financial sector, option pricing, capital markets, hedging, international capital markets, Contigent claims approach,
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,...