Cargando…
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 |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund, IMF Institute,
2006.
|
| Colección: | IMF working paper ;
WP/06/104. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
| LEADER | 00000cam a2200000 a 4500 | ||
|---|---|---|---|
| 001 | EBOOKCENTRAL_ocn698585698 | ||
| 003 | OCoLC | ||
| 005 | 20240329122006.0 | ||
| 006 | m o d | ||
| 007 | cr cn||||||||| | ||
| 008 | 061002s2006 dcu ob i000 0 eng d | ||
| 040 | |a E7B |b eng |e pn |c E7B |d OCLCQ |d CBT |d IDEBK |d OCLCQ |d OCLCF |d OCLCE |d OCLCO |d EBLCP |d DEBSZ |d OCLCO |d OCLCQ |d CUS |d MERUC |d COCUF |d MOR |d PIFAG |d ZCU |d OCLCQ |d U3W |d STF |d WRM |d CEF |d ICG |d CUS |d NRAMU |d VT2 |d AU@ |d OCLCQ |d WYU |d DKC |d OCLCQ |d UX1 |d HS0 |d UWK |d ADU |d OCLCQ |d UKCRE |d BOL |d OCLCO |d OCLCQ |d ESU |d OCLCQ |d OCLCO |d OCLCQ |d OCL |d OCLCO |d OCLCL | ||
| 019 | |a 647247808 |a 764536982 |a 805508118 |a 817800537 |a 961554480 |a 962616224 |a 975209709 |a 975243684 |a 988449752 |a 992035269 |a 1018046907 |a 1037937677 |a 1038626706 |a 1041926588 |a 1044304514 |a 1045528272 |a 1058155623 |a 1060847182 |a 1065710384 |a 1074337912 |a 1079931391 |a 1080233170 |a 1081295172 |a 1101726768 |a 1103551462 |a 1107333256 |a 1109310037 |a 1110374390 |a 1112865382 |a 1114354761 |a 1119005565 |a 1153516301 |a 1202565372 |a 1228570112 | ||
| 020 | |a 1283515490 | ||
| 020 | |a 9781283515498 | ||
| 020 | |a 9781451908985 | ||
| 020 | |a 1451908989 | ||
| 020 | |a 1462375030 | ||
| 020 | |a 9781462375035 | ||
| 020 | |a 1452793530 | ||
| 020 | |a 9781452793535 | ||
| 020 | |a 9786613827944 | ||
| 020 | |a 6613827940 | ||
| 024 | 8 | |a 10.5089/9781451908985.001 | |
| 029 | 1 | |a AU@ |b 000053023826 | |
| 029 | 1 | |a DEBBG |b BV044086215 | |
| 029 | 1 | |a DEBSZ |b 449525465 | |
| 029 | 1 | |a NZ1 |b 13864814 | |
| 035 | |a (OCoLC)698585698 |z (OCoLC)647247808 |z (OCoLC)764536982 |z (OCoLC)805508118 |z (OCoLC)817800537 |z (OCoLC)961554480 |z (OCoLC)962616224 |z (OCoLC)975209709 |z (OCoLC)975243684 |z (OCoLC)988449752 |z (OCoLC)992035269 |z (OCoLC)1018046907 |z (OCoLC)1037937677 |z (OCoLC)1038626706 |z (OCoLC)1041926588 |z (OCoLC)1044304514 |z (OCoLC)1045528272 |z (OCoLC)1058155623 |z (OCoLC)1060847182 |z (OCoLC)1065710384 |z (OCoLC)1074337912 |z (OCoLC)1079931391 |z (OCoLC)1080233170 |z (OCoLC)1081295172 |z (OCoLC)1101726768 |z (OCoLC)1103551462 |z (OCoLC)1107333256 |z (OCoLC)1109310037 |z (OCoLC)1110374390 |z (OCoLC)1112865382 |z (OCoLC)1114354761 |z (OCoLC)1119005565 |z (OCoLC)1153516301 |z (OCoLC)1202565372 |z (OCoLC)1228570112 | ||
| 037 | |n Title subscribed to via ProQuest Academic Complete | ||
| 042 | |a dlr | ||
| 050 | 4 | |a HG3701 |b .C43 2006eb | |
| 049 | |a UAMI | ||
| 100 | 1 | |a Chan-Lau, Jorge A., |e author. | |
| 245 | 1 | 0 | |a Market-based estimation of default probabilities and its application to financial market surveillance / |c prepared by Jorge A. Chan-Lau. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, IMF Institute, |c 2006. | ||
| 300 | |a 1 online resource (17 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 340 | |g polychrome. |2 rdacc |0 http://rdaregistry.info/termList/RDAColourContent/1003 | ||
| 347 | |a text file |2 rdaft |0 http://rdaregistry.info/termList/fileType/1002 | ||
| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/06/104 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |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. | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a Contents -- I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE -- II. CREDIT DEFAULT SWAPS -- III. BONDS -- IV. EQUITY PRICES -- V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES -- VI. CONCLUSIONS -- REFERENCES | |
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Default (Finance) | |
| 650 | 0 | |a Risk management. | |
| 650 | 0 | |a Default (Finance) |x Econometric models. | |
| 650 | 0 | |a Capital market |x Econometric models. | |
| 650 | 2 | |a Risk Management | |
| 650 | 6 | |a Défaillance (Finances) |x Modèles économétriques. | |
| 650 | 6 | |a Marché financier |x Modèles économétriques. | |
| 650 | 6 | |a Défaillance (Finances) | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a Default (Finance) |x Econometric models |2 fast | |
| 650 | 7 | |a Capital market |x Econometric models |2 fast | |
| 650 | 7 | |a Default (Finance) |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 758 | |i has work: |a Market-based estimation of default probabilities and its application to financial market surveillance (Text) |1 https://id.oclc.org/worldcat/entity/E39PCFHpbr4PyBrDFb7XkTBkWC |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Chan-Lau, Jorge A. |t Market-based estimation of default probabilities and its application to financial market surveillance. |d [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., 2006 |w (OCoLC)74114792 |
| 830 | 0 | |a IMF working paper ; |v WP/06/104. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3014409 |z Texto completo |
| 936 | |a BATCHLOAD | ||
| 938 | |a ProQuest Ebook Central |b EBLB |n EBL3014409 | ||
| 938 | |a ebrary |b EBRY |n ebr10380784 | ||
| 938 | |a ProQuest MyiLibrary Digital eBook Collection |b IDEB |n 382794 | ||
| 994 | |a 92 |b IZTAP | ||