We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and...

Intro -- Contents -- I. INTRODUCTION -- II. MACROECONOMIC-BASED MODELS -- III. CREDIT SCORING (OR ACCOUNTING-BASED) MODELS -- IV. RATINGS-BASED MODELS -- V. HYBRID MODELS -- VI. CONCLUSIONS -- REFERENCES.

Intro -- Contents -- I. INTRODUCTION -- II. CDS VALUATION AND THE BASIS -- III. THE ROLE OF RECOVERY -- IV. DATA ANALYSIS -- V. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE -- VI. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE WITH CTD -- VII. CONCLUSIONS -- REFERENCES.

The unprecedented rise in nonperforming assets during the recent Asian financial crisis severely tested the limit and capacity of the existing asset management infrastructure, leading policymakers to consider new approaches to resolve them. This paper examines two such approaches—the creation...

This paper investigates the medium- and long-term growth effects of the global financial crises on Low-Income Countries (LICs). Using several methodological approaches, including impulse response function analysis, growth spells techniques and panel regressions, we show that external demand (ED)...

Recoveries from recessions associated with a financial crisis tend to be sluggish. In this paper, we present evidence that stressed credit conditions are an important factor constraining the pace of recovery. In particular, using industry-level data, we find that industries relying more on...

Financial regulation is often framed as a question of economic efficiency. This paper, by contrast, puts the distributive implications of financial regulation center stage. We develop a model in which the financial sector benefits from risk-taking by earning greater expected returns. However,...