Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance /

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...

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書目詳細資料
主要作者: Chan-Lau, Jorge
格式: 雜誌
語言:English
出版: Washington, D.C. : International Monetary Fund, 2006.
叢編:IMF Working Papers; Working Paper ; No. 2006/104
在線閱讀:Full text available on IMF
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245 1 0 |a Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance /  |c Jorge Chan-Lau. 
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300 |a 1 online resource (19 pages) 
490 1 |a IMF Working Papers 
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500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a 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. 
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830 0 |a IMF Working Papers; Working Paper ;  |v No. 2006/104 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2006/104/001.2006.issue-104-en.xml  |z IMF e-Library