IMF Working Papers

Fundamentals-Based Estimation of Default Probabilities - A Survey

ByJorge A Chan-Lau

June 1, 2006

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Format: Chicago

Jorge A Chan-Lau. "Fundamentals-Based Estimation of Default Probabilities - A Survey", IMF Working Papers 2006, 149 (2006), accessed 11/17/2025, https://doi.org/10.5089/9781451864090.001

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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

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