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Price of Risk
			: Recent Evidence From Large Financials

Price of Risk : Recent Evidence From Large Financials »

Volume/Issue: 2010/190

Series: IMF Working Papers

Author(s): Manmohan Singh , and Karim Youssef

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

DOI: http://dx.doi.org/10.5089/9781455202249.001

ISBN: 9781455202249

Keywords: Price of risk, risk-neutral probabilities, real-world probabilities, cheapest-to-deliver bonds, distance-to-distress, JPoD, LCFIs, probabilities, probability, bond

Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to comp...

Price of Risk

Price of Risk »

Source: Price of Risk : Recent Evidence From Large Financials

Volume/Issue: 2010/190

Series: IMF Working Papers

Author(s): Manmohan Singh , and Karim Youssef

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

ISBN: 9781455202249

Keywords: Price of risk, risk-neutral probabilities, real-world probabilities, cheapest-to-deliver bonds, distance-to-distress, JPoD, LCFIs, probabilities, probability, bond

Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to comp...