Franklin

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance [electronic resource] Chan-Lau, Jorge A..

Author/Creator:
Chan-Lau, Jorge A.
Publication:
Washington, D.C. : International Monetary Fund, 2006.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 06/104.
IMF Working Papers; Working Paper No. 06/104
Format/Description:
Government document
Book
1 online resource (19 p.)
Local subjects:
Asset Pricing.
Bond.
Bond market.
Bond price.
Bond prices.
Bond spreads.
Bond trading.
Bond yields.
Bondholders.
Bonds.
Cash bond market.
Cash flow.
Cash flows.
Corporate bond.
Coupon bond.
Credit derivative.
Credit derivatives.
Derivative.
Derivative contract.
Derivatives market.
Derivatives markets.
Discount rate.
Discounted cash flow.
Econometrics.
Equation.
Equations.
Exchange rate policy surveillance.
Financial institutions.
Financial instruments.
Financial market.
Financial markets.
Financial risk.
Financial sector.
Financial system.
Financial systems.
Hedging.
International Financial Markets.
International financial system.
Liquid asset.
Normal distribution.
Prediction.
Present value.
Probabilities.
Probability.
Random variable.
Sovereign bonds.
Stock markets.
Treasury bond.
Treasury bond yields.
Argentina.
Brazil.
Korea, Republic of.
Malaysia.
Thailand.
United States.
Summary:
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.
Notes:
Description based on print version record.
Contributor:
Chan-Lau, Jorge A.
Other format:
Print Version:
ISBN:
1451863640:
9781451863642
ISSN:
1018-5941
Publisher Number:
10.5089/9781451863642.001
Access Restriction:
Restricted for use by site license.
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