An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Mertonamp;apos'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 bankamp;apos's credit deterioration up to nine months in advance. The distance-to-default, hence, may prove useful for bank monitoring purposes

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Year of publication:	[2007]
Authors:	Jobert, Arnaud
Other Persons:	Kong, Janet (contributor) ; Chan-Lau, Jorge A. (contributor)
Publisher:	[2007]: [S.l.] : SSRN

Extent:	1 Online-Ressource (22 p)
Series:	IMF Working Papers, Vol. , pp. 1-21, 2004
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2004 erstellt
Classification:	G12 - Asset Pricing ; G15 - International Financial Markets ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012777363