LEADER 05097oam 22013574 450 001 9910955023003321 005 20250426110050.0 010 $a9786613827944 010 $a9781462375035 010 $a1462375030 010 $a9781452793535 010 $a1452793530 010 $a9781283515498 010 $a1283515490 010 $a9781451908985 010 $a1451908989 035 $a(CKB)3360000000443722 035 $a(EBL)3014409 035 $a(SSID)ssj0000942110 035 $a(PQKBManifestationID)11601440 035 $a(PQKBTitleCode)TC0000942110 035 $a(PQKBWorkID)10972154 035 $a(PQKB)11236536 035 $a(OCoLC)698585698 035 $a(MiAaPQ)EBC3014409 035 $a(IMF)WPIEE2006104 035 $a(IMF)WPIEA2006104 035 $aWPIEA2006104 035 $a(EXLCZ)993360000000443722 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 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2006. 215 $a1 online resource (19 p.) 225 1 $aIMF Working Papers 300 $a"April 2006." 311 08$a9781451863642 311 08$a1451863640 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 $aAsset and liability management$2imf 606 $aAsset prices$2imf 606 $aAsset valuation$2imf 606 $aAsset-liability management$2imf 606 $aBonds$2imf 606 $aCredit default swap$2imf 606 $aCredit$2imf 606 $aDeflation$2imf 606 $aFinance$2imf 606 $aFinancial institutions$2imf 606 $aFinancial Instruments$2imf 606 $aFinancial Risk Management$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aInflation$2imf 606 $aInstitutional Investors$2imf 606 $aInternational Financial Markets$2imf 606 $aInvestment & securities$2imf 606 $aInvestments: Bonds$2imf 606 $aInvestments: Stocks$2imf 606 $aMacroeconomics$2imf 606 $aMonetary economics$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aMoney and Monetary Policy$2imf 606 $aMoney$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aPension Funds$2imf 606 $aPrice Level$2imf 606 $aPrices$2imf 606 $aStocks$2imf 607 $aUnited States$2imf 615 0$aDefault (Finance) 615 0$aRisk management. 615 7$aAsset and liability management 615 7$aAsset prices 615 7$aAsset valuation 615 7$aAsset-liability management 615 7$aBonds 615 7$aCredit default swap 615 7$aCredit 615 7$aDeflation 615 7$aFinance 615 7$aFinancial institutions 615 7$aFinancial Instruments 615 7$aFinancial Risk Management 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aInflation 615 7$aInstitutional Investors 615 7$aInternational Financial Markets 615 7$aInvestment & securities 615 7$aInvestments: Bonds 615 7$aInvestments: Stocks 615 7$aMacroeconomics 615 7$aMonetary economics 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aMoney and Monetary Policy 615 7$aMoney 615 7$aNon-bank Financial Institutions 615 7$aPension Funds 615 7$aPrice Level 615 7$aPrices 615 7$aStocks 700 $aChan-Lau$b Jorge$01815656 801 0$bDcWaIMF 906 $aBOOK 912 $a9910955023003321 996 $aMarket-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance$94371515 997 $aUNINA