The emergence of the economic crisis in Thailand in 1997 is an interesting case for academic studies. Internationally, it had a contagion effect, spreading to countries in Asia and in other regions. Domestically, it caused a great many industrial and corporate bankruptcies. The Thai economy had been relatively stable since 1984. The recent development in 1997, however, produced a sudden economic slump resulting in closures of many Thai corporations. Using a logit regression, this study develops a macro-related micro-crisis investigation model. The significance of the model is in its ability to bridge a firm's sensitivity to macroeconomic conditions and its financial characteristics in order to explore a firm's financial distress. The findings indicate that macroeconomic conditions are critical indicators of potential financial crisis for a firm. The article shows that the higher a firm's sensitivity to inflation, the higher the firm's exposure to financial distress.
We propose a methodology based on multivariate extreme value theory, to analyze the dependence between markets during the financial crisis. We argue that extreme dependence based on block maximum is a more appropriate measure to study dependence between stock markets, when a regime shifts, than other alternatives. With this methodology, we are able to detect the increase in the extreme dependences between US and other markets during the 2008 financial crisis where traditional approaches fail to do so. In addition, the estimated dependent function allows one to quantify maximum impact of the crisis on each individual market. We then propose the use of a conditional loss distribution as a constructive tool for a stress test analysis in risk management study. Stress test levels with respect to 2008 financial data calculated from the conditional loss distribution are given.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.