Distance-to-default in banking : a bridge too far?

Distance-to-default in banking : a bridge too far? / Jorge A. Chan-Lau and Amadou N.R. Sy.

In contrast to corporate defaults, regulators typically take a number of statutory actions to avoid the large fiscal costs associated with bank defaults. The distance-to-default, a widely used market-based measure of corporate default risk, ignores such regulatory actions. To overcome this limitatio...

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Bibliographic Details
Main Authors: Chan-Lau, Jorge A. (Author), Sy, Amadou N. R. (Author)
Corporate Author: International Monetary Fund. Monetary and Financial Systems Department
Format: eBook
Language:English
Published: [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., ©2006.
Series:IMF working paper ; WP/06/215.
Subjects:
Bank capital > Econometric models.
Bank failures > Econometric models.
Default (Finance) > Econometric models.
Risk > Econometric models.
Bank capital > Econometric models
Bank failures > Econometric models
Default (Finance) > Econometric models
Risk > Econometric models
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