Fundamentals-Based Estimation of Default Probabilities

Fundamentals-Based Estimation of Default Probabilities - A Survey

June 1, 2006

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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 publicly traded securities or secondary market prices are unreliable because of low liquidity.

Subject: Business cycles, Credit, Credit ratings, Econometric models, Loans

Keywords: credit scoring, default probability, WP

Pages:
20
Volume:
2006
DOI:
https://doi.org/10.5089/9781451864090.001
Issue:
149
Series:
Working Paper No. 2006/149
Stock No:
WPIEA2006149
ISBN:
9781451864090
ISSN:
1018-5941

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