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150128 ||| eng |
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|a 9781451863642
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|a Chan-Lau, Jorge
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| 245 |
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|a Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance
|c Jorge Chan-Lau
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2006
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| 300 |
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|a 19 pages
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| 651 |
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4 |
|a United States
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| 653 |
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|a Inflation
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| 653 |
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|a Credit
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| 653 |
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|a Institutional Investors
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| 653 |
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|a Stocks
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| 653 |
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|a Pension Funds
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| 653 |
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|a Asset valuation
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| 653 |
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|a Finance
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| 653 |
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|a Monetary economics
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| 653 |
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|a Financial institutions
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| 653 |
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|a Financial Instruments
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| 653 |
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|a Deflation
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| 653 |
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|a Monetary Policy, Central Banking, and the Supply of Money and Credit: General
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| 653 |
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|a General Financial Markets: General (includes Measurement and Data)
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| 653 |
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|a Asset and liability management
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| 653 |
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|a Investments: Bonds
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| 653 |
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|a Money
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| 653 |
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|a Asset prices
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| 653 |
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|a International Financial Markets
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| 653 |
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|a Non-bank Financial Institutions
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| 653 |
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|a Price Level
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| 653 |
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|a Bonds
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| 653 |
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|a Investments: Stocks
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| 653 |
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|a Asset-liability management
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| 653 |
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|a Prices
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| 653 |
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|a Credit default swap
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| 653 |
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|a Macroeconomics
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| 653 |
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|a Investment & securities
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| 653 |
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|a Financial Risk Management
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| 653 |
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|a Money and Monetary Policy
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| 041 |
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7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
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|a IMF Working Papers
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| 028 |
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|a 10.5089/9781451863642.001
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| 856 |
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|u https://elibrary.imf.org/view/journals/001/2006/104/001.2006.issue-104-en.xml?cid=18932-com-dsp-marc
|x Verlag
|3 Volltext
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|a 330
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| 520 |
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|a 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
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