Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance [electronic resource] Chan-Lau, Jorge A..
- Washington, D.C. : International Monetary Fund, 2006.
- IMF eLibrary
IMF Working Papers; Working Paper No. 06/104.
IMF Working Papers; Working Paper No. 06/104
- Government document
1 online resource (19 p.)
- Local subjects:
- Asset Pricing.
Cash bond market.
Discounted cash flow.
Exchange rate policy surveillance.
International Financial Markets.
International financial system.
Treasury bond yields.
Korea, Republic of.
- 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.
- Description based on print version record.
- Chan-Lau, Jorge A.
- Other format:
- Print Version:
- Publisher Number:
- Access Restriction:
- Restricted for use by site license.
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