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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 |