05097oam 22013574 450 991095502300332120250426110050.0978661382794497814623750351462375030978145279353514527935309781283515498128351549097814519089851451908989(CKB)3360000000443722(EBL)3014409(SSID)ssj0000942110(PQKBManifestationID)11601440(PQKBTitleCode)TC0000942110(PQKBWorkID)10972154(PQKB)11236536(OCoLC)698585698(MiAaPQ)EBC3014409(IMF)WPIEE2006104(IMF)WPIEA2006104WPIEA2006104(EXLCZ)99336000000044372220020129d2006 uf 0engur|n|---|||||txtccrMarket-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance /Jorge Chan-Lau1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (19 p.)IMF Working Papers"April 2006."9781451863642 1451863640 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 managementAsset and liability managementimfAsset pricesimfAsset valuationimfAsset-liability managementimfBondsimfCredit default swapimfCreditimfDeflationimfFinanceimfFinancial institutionsimfFinancial InstrumentsimfFinancial Risk ManagementimfGeneral Financial Markets: General (includes Measurement and Data)imfInflationimfInstitutional InvestorsimfInternational Financial MarketsimfInvestment & securitiesimfInvestments: BondsimfInvestments: StocksimfMacroeconomicsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfMoneyimfNon-bank Financial InstitutionsimfPension FundsimfPrice LevelimfPricesimfStocksimfUnited StatesimfDefault (Finance)Risk management.Asset and liability managementAsset pricesAsset valuationAsset-liability managementBondsCredit default swapCreditDeflationFinanceFinancial institutionsFinancial InstrumentsFinancial Risk ManagementGeneral Financial Markets: General (includes Measurement and Data)InflationInstitutional InvestorsInternational Financial MarketsInvestment & securitiesInvestments: BondsInvestments: StocksMacroeconomicsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyMoneyNon-bank Financial InstitutionsPension FundsPrice LevelPricesStocksChan-Lau Jorge1815656DcWaIMFBOOK9910955023003321Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance4371515UNINA