Author Description

We Measure Bank Vulnerability In Emerging Markets Using The Distance-to-default, A Risk-neutral Indicator Based On Merton's (1974) Structural Model Of Credit Risk. The Indicator Is Estimated Using Equity Prices And Balance-sheet Data For 38 Banks In 14 Emerging Market Countries. Results Show It Can Predict A Bank's Credit Deterioration Up To Nine Months In Advance. The Distance-to-default, Hence, May Prove Useful For Bank Monitoring Purposes. Arnaud Jobert, Janet Kong, Jorge Chan-lau. Bibliographic Level Mode Of Issuance: Monograph English