文章基本信息

标题：RiD: A New Approach to Estimate the Insolvency Risk
本地全文：下载
作者：Marco Aurélio dos Santos Sanfins ; Danilo Soares Monte-Mor
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2014
卷号：12
期号：2
页码：229-255
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：Given the recent international crises and the increasing number of defaults, several researchers have attempted to develop metrics that calculate the probability of insolvency with higher accuracy. The approaches commonly used, however, do not consider the credit risk nor the severity of the distance between receivables and obligations among different periods. In this paper we mathematically present an approach that allow us to estimate the insolvency risk by considering not only future receivables and obligations, but the severity of the distance between them and the quality of the respective receivables. Using Monte Carlo simulations and hypothetical examples, we show that our metric is able to estimate the insolvency risk with high accuracy. Moreover, our results suggest that in the absence of a smooth distribution between receivables and obligations, there is a non-null insolvency risk even when the present value of receivables is larger than the present value of the obligations.
其他摘要：Given the recent international crises and the increasing number of defaults, several researchers have attempted to develop metrics that calculate the probability of insolvency with higher accuracy. The approaches commonly used, however, do not consider the credit risk nor the severity of the distance between receivables and obligations among different periods. In this paper we mathematically present an approach that allow us to estimate the insolvency risk by considering not only future receivables and obligations, but the severity of the distance between them and the quality of the respective receivables. Using Monte Carlo simulations and hypothetical examples, we show that our metric is able to estimate the insolvency risk with high accuracy. Moreover, our results suggest that in the absence of a smooth distribution between receivables and obligations, there is a non-null insolvency risk even when the present value of receivables is larger than the present value of the obligations.
关键词：Insolvency Risk; Credit Risk;Monte Carlo Simulation;Risco de Insolvência; Risco de Crédito;Simulação de Monte Carlo
其他关键词：Finance; Economics; Statistics;Insolvency Risk; Credit Risk; Monte Carlo Simulation;G10;G17;G32