Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance »
Series: IMF Working Papers
Author(s): Jorge Chan-Lau
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 April 2006
Keywords: Default probability, security prices, financial surveillance, probabilities, probability, bond, equation, credit derivatives,
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...