Michael T. Gapen Yingbin Xiao Cheng Hoom Lim Dale F. Gray
Abstract
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, to assess vulnerabilities retroactively in two historical country cases. The results indicate that the method may prove helpful in identifying corporate sector vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial, and public sectors.
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Publisher Info
Paper provided by International Monetary Fund in its series IMF Working Papers with number
04/121.
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