| Description |
1 online resource (32 pages) : color illustrations |
| Series |
IMF working paper ; WP/15/140 |
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IMF working paper ; WP/15/140.
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| Contents |
Cover Page -- Title Page -- Copyright Page -- Contents -- Figures -- Tables -- I. INTRODUCTION -- II. MARKET-BASED DEFAULT PROBABILITIES FOR CHINESE FIRMS -- Figure 1. Skewness of Stock Returns in Chinese Equity Market -- Table 1. Sample Summary Statistics: Balance Sheet Items -- Table 2. Jump-Diffusion Structural Credit Model: Distribution of Estimated PDs -- Table 3. 1-Year Default Probability to Implied Credit Rating Mapping -- III. CASE STUDIES -- Figure 2. Chaori Solar Ltd, Nov-2011 to Mar-2014 -- Figure 3. Vanke China Ltd, Jan-2006 to Mar-2014 |
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""IV. AGGREGATE RESULTS""""Figure 4. Default Probability-Implied Credit Rating Distributions, Q4-2008, Q4-2013, Q4-2014""; ""Figure 5. Default Probability-Implied Credit Rating Distributions, Q4-2008, Q4-2013, Q4-2014""; ""Figure 6. Leverage and Asset Volatility by Ownership Q4-2014 vs 2008""; ""V. DETERMINANTS OF DEFAULT PROBABILITIES IN CHINA""; ""Table 4. Firm-Specific Explanatory Variables""; ""Table 5. Macroeconomic Explanatory Variable""; ""Table 6. Default Probabilities Pooled Regression, Q1-2006 to Q3-2014""; ""Table 7. Comparison of Coefficients with Altman�s Model for U.S. Firms"" |
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Table 8. Wald Test Results of Coefficients of State Ownership VariablesTable 9. Default Probabilities Pooled Regression, Q1-2006 to Q3-2014 -- Table 10. Default Probabilities Pooled Regression, Q1-2006 to Q3-2014 -- Table 11. Default Probabilities Pooled Regression, Q1-2006 to Q4-2014 -- VI. CONCLUSION -- REFERENCES -- Footnotes |
| Summary |
Assessing default risks for Chinese firms is hard. Standard measures of risk using market indicators may be unreliable because of implicit guarantees, the large role played by less-informed investors, and other market imperfections. We test this assertion by estimating stand-alone 1-year default probabilities for non-financial firms in China using an equity-based structural model and debt costs. We find evidence that the equity measure of default risk is sensitive to a firm's balance sheet health, profitability, and ownership; specifically, default probabilities are higher for weaker, less profitable, and state-owned firms. In contrast, measures based on the cost of debt seem largely detached from fundamentals and instead determined by implicit guarantees. We conclude that for individual firms, equity-based measures, while far from perfect, provide a better measure of stand-alone default risks than borrowing costs. --Abstract |
| Notes |
"June 2015." |
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"Monetary and Capital Markets Department." |
| Bibliography |
Includes bibliographical references (pages 30-31) |
| Notes |
Online resource; title from pdf title page (IMF.org Web site, viewed July 2, 2015) |
| Subject |
Default (Finance) -- China -- Econometric models
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Business enterprises -- China -- Econometric models
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Government corporations -- China -- Econometric models
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Business enterprises -- Econometric models
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Default (Finance) -- Econometric models
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China
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| Form |
Electronic book
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| Author |
Roache, Shaun K., author.
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International Monetary Fund. Monetary and Capital Markets Department.
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| ISBN |
9781513514291 |
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1513514296 |
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9781513587431 |
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1513587439 |
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