| Description |
1 online resource (34 pages) |
| Series |
IMF working paper ; WP/17/133 |
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IMF working paper ; WP/17/133.
|
| Contents |
880-01 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 |
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880-01/(S 10. Contributions to Changes in Projected Corporate PDs, 201711: Changes in Projected Corporate PDs (in basis points); 12. Default-other exit-survival tree for firm i, viewed from time t = mΔt; 13: Credit Loss Probability Distribution; References; Annex |
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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 |
| Summary |
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 |
| Notes |
Print version record |
| Subject |
Corporations -- Finance.
|
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Financial risk management.
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Corporations -- Finance
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Financial risk management
|
| Form |
Electronic book
|
| Author |
Lim, Cheng Hoon
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Rodríguez-Delgado, Jose Daniel
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| ISBN |
1484304144 |
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9781484304143 |
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