Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance
Electronic Access:
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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.
Series:
Working Paper No. 2006/104
Subject:
Asset and liability management Asset prices Asset valuation Bonds Credit default swap Financial institutions Money Prices Stocks
Frequency:
Biannually
English
Publication Date:
April 1, 2006
ISBN/ISSN:
9781451863642/1018-5941
Stock No:
WPIEA2006104
Pages:
19
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