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: | |
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| 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 |
Table of Contents:
- Cover; Contents; Abstract; I. Introduction; II. Recent Corporate Debt Developments: LA-5 Countries; A. Financial Ratio Analysis; B. Debt-at-Risk; III. The Bottom-Up Default Analysis (BuDA) Methodology: an Overview; IV. A BuDA Case Study: Adverse Commodity Shocks in LAC-5 Countries; A. Macroeconomic Scenario Design; B. Calculating Bank Provisions and Capital Buffers; V. Concluding Remarks; A. Forecasting Risk Factors; B. Projecting PDs Using BuDA; C. Calculating Bank Provisions and Capital Buffers; Tables; 1. Sustainability of Corporate Debt in the LA-5: Weak Tail Analysis.
- 2: Economy-Wide and Firm-Specific Risk Factors3. Required Provisions and Economic Capital; 4. National Stock Indices and Short-Term Interest Rates; Figures; 1. Bond and Loan Debt by Non-Financial Corporates; 2. LA5: Banks and Non-Financial Corporate Sector; 3. LA-5: Non-Financial Corporate Debt, 2000-15; 4. Debt at Risk; 5. BuDA and Banks' Buffer Needs: Conceptual Approach; 6. Baseline GDP Growth; 7. Distress Scenario Impact on GDP Levels; 8. Baseline and Adverse Scenario: Commodity Prices, Real GDP and USD Exchange Rates; 9. Probability of Default in the Non-Financial Corporate Sector.
