An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Working Paper No. 04/33

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... READ MORE...

Publication date: February 2004
ISBN 9781451845211
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Publication date: February 2004

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Publication date: February 2004

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