04878oam 22012614 450 991078840580332120230828235702.01-4623-7503-01-4527-9353-01-283-51549-01-4519-0898-99786613827944(CKB)3360000000443722(EBL)3014409(SSID)ssj0000942110(PQKBManifestationID)11601440(PQKBTitleCode)TC0000942110(PQKBWorkID)10972154(PQKB)11236536(OCoLC)698585698(MiAaPQ)EBC3014409(IMF)WPIEE2006104(EXLCZ)99336000000044372220020129d2006 uf 0engur|n|---|||||txtccrMarket-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance /Jorge Chan-LauWashington, D.C. :International Monetary Fund,2006.1 online resource (19 p.)IMF Working Papers"April 2006."1-4518-6364-0 Includes bibliographical references.""Contents""; ""I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE""; ""II. CREDIT DEFAULT SWAPS""; ""III. BONDS""; ""IV. EQUITY PRICES""; ""V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES""; ""VI. CONCLUSIONS""; ""REFERENCES""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.IMF Working Papers; Working Paper ;No. 2006/104Default (Finance)Risk managementFinancial Risk ManagementimfInvestments: BondsimfInvestments: StocksimfMacroeconomicsimfMoney and Monetary PolicyimfInternational Financial MarketsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfGeneral Financial Markets: General (includes Measurement and Data)imfPrice LevelimfInflationimfDeflationimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfMonetary economicsimfInvestment & securitiesimfFinanceimfCredit default swapimfBondsimfAsset pricesimfStocksimfAsset valuationimfMoneyimfFinancial institutionsimfPricesimfAsset and liability managementimfCreditimfAsset-liability managementimfUnited StatesimfDefault (Finance)Risk management.Financial Risk ManagementInvestments: BondsInvestments: StocksMacroeconomicsMoney and Monetary PolicyInternational Financial MarketsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralGeneral Financial Markets: General (includes Measurement and Data)Price LevelInflationDeflationPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsMonetary economicsInvestment & securitiesFinanceCredit default swapBondsAsset pricesStocksAsset valuationMoneyFinancial institutionsPricesAsset and liability managementCreditAsset-liability managementChan-Lau Jorge1462089DcWaIMFBOOK9910788405803321Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance3850029UNINA