01883cas a2200253 a 4500 AALejournalIMF004591 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451865295 1018-5941 BD-DhAAL BD-DhAAL Santos, Andre. Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications / Andre Santos, Jorge Chan-Lau. Washington, D.C. : International Monetary Fund, 2006. 1 online resource (30 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed models can be adapted to different exchange rate regimes, are analytically tractable, and can be estimated using available equity price and balance sheet data. The paper provides a detailed explanation on how to calibrate the models and discusses two applications to financial surveillance: the measurement of systematic risk in the corporate sector and the estimation of prudential leverage ratios consistent with regulatory capital ratios in the banking sector. Mode of access: Internet Chan-Lau, Jorge. IMF Working Papers; Working Paper ; No. 2006/269 Full text available on IMF http://elibrary.imf.org/view/journals/001/2006/269/001.2006.issue-269-en.xml IMF e-Library