Currency mismatches and corporate default risk : modeling, measurement, and surveillance applications

Currency mismatches and corporate default risk : modeling, measurement, and surveillance applications / prepared by Jorge A. Chan-Lau and Andre O. Santos.

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed models...

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Bibliographic Details
Main Authors: Chan-Lau, Jorge A. (Author), Santos, André (Author)
Format: eBook
Language:English
Published: [Washington, D.C.] : International Monetary Fund, Research Dept., ©2006.
Series:IMF working paper ; WP/06/269.
Subjects:
Corporations > Finance.
Default (Finance)
Default (Finance) > Econometric models.
Loans, Foreign > Econometric models.
Financial crises > Econometric models.
Loans, Foreign > Econometric models
Financial crises > Econometric models
Default (Finance) > Econometric models
Corporations > Finance
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