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An Application to Latin America
出版International Monetary Fund, 2017-06-08
主題Business & Economics / Banks & BankingBusiness & Economics / Industries / Financial ServicesBusiness & Economics / Corporate Finance / General
ISBN14843028189781484302811
URLhttp://books.google.com.hk/books?id=_2MZEAAAQBAJ&hl=&source=gbs_api
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註釋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 assessing corporate performance and facilitates what-if scenarios. When extended with credit portfolio techniques, the approach can also assess the aggregate impact of changes in firm solvency risk on creditor banks’ capital buffers under different macroeconomic scenarios. As an illustration, we apply this approach to the corporate sector of the five largest economies in Latin America.