Market-Based Estimation of Default Probabilities and Its Application to Financial Market Surveillance Jorge A. Chan-Lau

ISBN: 9781283515498

Published: September 25th 2013

ebook

19 pages


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Market-Based Estimation of Default Probabilities and Its Application to Financial Market Surveillance  by  Jorge A. Chan-Lau

Market-Based Estimation of Default Probabilities and Its Application to Financial Market Surveillance by Jorge A. Chan-Lau
September 25th 2013 | ebook | PDF, EPUB, FB2, DjVu, audiobook, mp3, RTF | 19 pages | ISBN: 9781283515498 | 7.48 Mb

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.MoreThis 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 readers intuition, and the usefulness of each technique for enhancing financial surveillance is illustrated with real applications.



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