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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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund, IMF Institute,
2006.
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| Colección: | IMF working paper ;
WP/06/104. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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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| Descripción Física: | 1 online resource (17 pages) |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 1283515490 9781283515498 9781451908985 1451908989 1462375030 9781462375035 1452793530 9781452793535 9786613827944 6613827940 |
| ISSN: | 2227-8885 ; |