Bottom-Up Default Analysis of Corporate Solvency Risk.
This paper suggests a novel approach to assess corporate sector solvency risk. The approach uses a Bottom-Up Default Analysis that projects probabilities of default of individual firms conditional on macroeconomic conditions and financial risk factors. This allows a direct macro-financial link to as...
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| Main Author: | |
|---|---|
| Other Authors: | , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2017.
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| Series: | IMF working paper ;
WP/17/133. |
| Subjects: | |
| Online Access: | CONNECT |
