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 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

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Year of publication:	[2006]
Authors:	Chan-Lau, Jorge A.
Other Persons:	Jobert, Arnaud (contributor) ; Kong, Qingying Janet (contributor)
Publisher:	[2006]: [S.l.] : SSRN

Extent:	1 Online-Ressource (22 p)
Series:	IMF Working Paper ; No. 04/33
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2004 erstellt
Other identifiers:	10.2139/ssrn.520182 [DOI]
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/10012783863