Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications

Modeling, Measurement, and Surveillance Applications

Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications
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 can be adapted to different exchange rate... READ MORE...

Publication date: December 2006
ISBN 9781451865295
$18.00

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