{
  "title": "Scenario Analysis with the DD-PD Mapping Approach: Stock Market Shocks and U.S. Corporate Default Risk",
  "publication": "IMF Working Papers, May 20, 2021",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2021/05/20/scenario-analysis-with-the-dd-pd-mapping-approach-stock-market-shocks-and-u-s-50232",
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  "summary": "This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms’ DD to their real world PD.",
  "sections": [
    {
      "heading": "Methodology: DD-PD mapping",
      "content": "- Introduces the quantile regression-based Distance-to-Default to Probability of Default (DD-PD) mapping.\n- Links individual firms’ DD to their real world PD.\n- Mapping relies on a handful of parameters, so changes in DD can be generated from:\n  - quantitative scenarios, and\n  - narrative scenarios informed by expert judgment."
    },
    {
      "heading": "Key findings and scenario results",
      "content": "- At end-2020, risks from stock market corrections in the U.S. are concentrated in the energy, financial and technology sectors.\n- Additional bank capital needs could be large under stress induced by stock market corrections."
    },
    {
      "heading": "Applications and uses",
      "content": "- PD valuation.\n- Capital structure analysis.\n- Credit portfolio management.\n- Long-term scenario planning analysis."
    },
    {
      "heading": "Publication and metadata",
      "content": "- Pages: 24\n- Volume: 2021\n- Issue: 143\n- Series: Working Paper No. 2021/143\n- DOI: https://doi.org/10.5089/9781513573533.001\n- Stock No: WPIEA2021143\n- ISBN: 9781513573533\n- ISSN: 1018-5941\n- Subject: Economic sectors, Financial crises\n- Keywords: default risk, distance-to-default, probability of default, quantile regression, scenario analysis, stock markets, stress test\n- Author: Jorge A Chan-Lau\n- Publication date: May 20, 2021\n\nSource: https://www.imf.org/en/publications/wp/issues/2021/05/20/scenario-analysis-with-the-dd-pd-mapping-approach-stock-market-shocks-and-u-s-50232\n\n---\n\n Content in this bundle\n\n- Working Paper\n  - Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2021/05/20/scenario-analysis-with-the-dd-pd-mapping-approach-stock-market-shocks-and-u-s-50232"
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    "Authors: Jorge A Chan-Lau",
    "Published: May 20, 2021",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781513573533.001",
    "Introduces the quantile regression-based Distance-to-Default to Probability of Default (DD-PD) mapping.",
    "Links individual firms’ DD to their real world PD.",
    "Mapping relies on a handful of parameters, so changes in DD can be generated from:",
    "At end-2020, risks from stock market corrections in the U.S. are concentrated in the energy, financial and technology sectors.",
    "Additional bank capital needs could be large under stress induced by stock market corrections.",
    "PD valuation.",
    "Capital structure analysis.",
    "Credit portfolio management.",
    "Long-term scenario planning analysis.",
    "Pages: 24",
    "Volume: 2021",
    "Issue: 143",
    "Series: Working Paper No. 2021/143",
    "DOI: https://doi.org/10.5089/9781513573533.001",
    "Stock No: WPIEA2021143",
    "ISBN: 9781513573533",
    "ISSN: 1018-5941",
    "Subject: Economic sectors, Financial crises",
    "Keywords: default risk, distance-to-default, probability of default, quantile regression, scenario analysis, stock markets, stress test",
    "Author: Jorge A Chan-Lau",
    "Publication date: May 20, 2021",
    "**Working Paper**"
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