Series: IMF Working Papers
Author(s): Manmohan Singh , and Karim Youssef
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 August 2010
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...