Cover Image
Read Now

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and stress testing financial systems. The choice of techniques was guided by their ease of...

Full description

Bibliographic Details
Main Author: Chan-Lau, Jorge
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2006
Series:IMF Working Papers
Subjects:
Inflation
Credit
Institutional Investors
Stocks
Pension Funds
Asset Valuation
Finance
Monetary Economics
Financial Institutions
Financial Instruments
Deflation
Monetary Policy, Central Banking, And The Supply Of Money And Credit: General
General Financial Markets: General (includes Measurement And Data)
Asset And Liability Management
Investments: Bonds
Money
Asset Prices
International Financial Markets
Non-bank Financial Institutions
Price Level
Bonds
Investments: Stocks
Asset-liability Management
Prices
Credit Default Swap
Macroeconomics
Investment & Securities
Financial Risk Management
Money And Monetary Policy
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and stress testing financial systems. The choice of techniques was guided by their ease of implementation and their applicability to a wide cross-section of countries and markets. Simple one-period cases are studied to sharpen the reader's intuition, and the usefulness of each technique for enhancing financial surveillance is illustrated with real applications
Physical Description:19 pages
ISBN:9781451863642

Similar Items