Fundamentals-based estimation of default probabilities : a survey /

This survey reviews a number of different fundamentals-based models for estimating default probabilities for firms and/or industries, and illustrates them with real applications by practitioners and policy making institutions. The models are especially useful when the firms analyzed do not have publ...

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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Chan-Lau, Jorge A. (Auteur)
Collectivité auteur: International Monetary Fund. Monetary and Financial Systems Department
Format: Électronique eBook
Langue:Inglés
Publié: [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., ©2006.
Collection:IMF working paper ; WP/06/149.
Sujets:
Corporations > Evaluation > Econometric models.
Default (Finance) > Econometric models.
Business enterprises > Valuation > Econometric models.
Corporations > Valuation > Econometric models.
Défaillance (Finances) > Modèles économétriques.
Entreprises > Évaluation > Modèles économétriques.
Sociétés > Évaluation > Modèles économétriques.
Corporations > Valuation > Econometric models
Default (Finance) > Econometric models
Accès en ligne:Texto completo
Table des matières:
  • Contents
  • I. INTRODUCTION
  • II. MACROECONOMIC-BASED MODELS
  • III. CREDIT SCORING (OR ACCOUNTING-BASED) MODELS
  • IV. RATINGS-BASED MODELS
  • V. HYBRID MODELS
  • VI. CONCLUSIONS
  • REFERENCES

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