Probabilities of Default and the Market Price of Risk in a Distressed Economy /
We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one-factor asset pricing model. The market price of risk under stress (the expectation of...
| Autor Principal: | |
|---|---|
| Outros autores: | |
| Formato: | Revista |
| Idioma: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2011.
|
| Series: | IMF Working Papers; Working Paper ;
No. 2011/075 |
| Acceso en liña: | Full text available on IMF |