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...
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | دورية |
| اللغة: | English |
| منشور في: |
Washington, D.C. :
International Monetary Fund,
2006.
|
| سلاسل: | IMF Working Papers; Working Paper ;
No. 2006/104 |
| الوصول للمادة أونلاين: | Full text available on IMF |