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100   $a20020129d2006      uf             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aMarket-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance /$fJorge Chan-Lau
210  1$aWashington, D.C. :$cInternational Monetary Fund,$d2006.
215   $a1 online resource (19 p.)
225 1 $aIMF Working Papers
300   $a"April 2006."
311   $a1-4518-6364-0 
320   $aIncludes bibliographical references.
327   $a""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""
330 3 $aThis paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and stress testing financial systems. The choice of techniques was guided by their ease of implementation and their applicability to a wide cross-section of countries and markets. Simple one-period cases are studied to sharpen the reader's intuition, and the usefulness of each technique for enhancing financial surveillance is illustrated with real applications.
410  0$aIMF Working Papers; Working Paper ;$vNo. 2006/104
606   $aDefault (Finance)
606   $aRisk management
606   $aFinancial Risk Management$2imf
606   $aInvestments: Bonds$2imf
606   $aInvestments: Stocks$2imf
606   $aMacroeconomics$2imf
606   $aMoney and Monetary Policy$2imf
606   $aInternational Financial Markets$2imf
606   $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf
606   $aGeneral Financial Markets: General (includes Measurement and Data)$2imf
606   $aPrice Level$2imf
606   $aInflation$2imf
606   $aDeflation$2imf
606   $aPension Funds$2imf
606   $aNon-bank Financial Institutions$2imf
606   $aFinancial Instruments$2imf
606   $aInstitutional Investors$2imf
606   $aMonetary economics$2imf
606   $aInvestment & securities$2imf
606   $aFinance$2imf
606   $aCredit default swap$2imf
606   $aBonds$2imf
606   $aAsset prices$2imf
606   $aStocks$2imf
606   $aAsset valuation$2imf
606   $aMoney$2imf
606   $aFinancial institutions$2imf
606   $aPrices$2imf
606   $aAsset and liability management$2imf
606   $aCredit$2imf
606   $aAsset-liability management$2imf
607   $aUnited States$2imf
615  0$aDefault (Finance)
615  0$aRisk management.
615  7$aFinancial Risk Management
615  7$aInvestments: Bonds
615  7$aInvestments: Stocks
615  7$aMacroeconomics
615  7$aMoney and Monetary Policy
615  7$aInternational Financial Markets
615  7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General
615  7$aGeneral Financial Markets: General (includes Measurement and Data)
615  7$aPrice Level
615  7$aInflation
615  7$aDeflation
615  7$aPension Funds
615  7$aNon-bank Financial Institutions
615  7$aFinancial Instruments
615  7$aInstitutional Investors
615  7$aMonetary economics
615  7$aInvestment & securities
615  7$aFinance
615  7$aCredit default swap
615  7$aBonds
615  7$aAsset prices
615  7$aStocks
615  7$aAsset valuation
615  7$aMoney
615  7$aFinancial institutions
615  7$aPrices
615  7$aAsset and liability management
615  7$aCredit
615  7$aAsset-liability management
700   $aChan-Lau$b Jorge$01462089
801  0$bDcWaIMF
906   $aBOOK
912   $a9910788405803321
996   $aMarket-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance$93850029
997   $aUNINA