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The END: A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

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  • The END: A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability
  • Chan-Lau, Jorge A.; Gravelle, Toni
  • International Monetary Fund (IMF)


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Title The END: A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability
Similar Titles
Material Type Reports
Author(English)

Chan-Lau, Jorge A.; Gravelle, Toni

Publisher

International Monetary Fund (IMF)

Date 2005
Pages 17
Language English
File Type Link
Subject Economy < Financial Policy

Abstract

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is general enough to assess systemic risk in the corporate and financial sectors, as well as systemic sovereign risk;and is also forward looking as it is constructed using information implied by financial securities prices. Using equity prices and balance-sheet data, we calculate the END to assess systemic risk in the corporate sector in Korea, Malaysia, and Thailand. We also discuss how the END systemic risk indicator overcomes some of the shortcomings of other vulnerability indicators.