Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance / / Jorge Chan-Lau

• Autore: Chan-Lau Jorge
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2006
• Descrizione fisica: 1 online resource (19 p.)
• Soggetto topico: Default (Finance); Risk management; Financial Risk Management; Investments: Bonds; Investments: Stocks; Macroeconomics; Money and Monetary Policy; International Financial Markets; Monetary Policy, Central Banking, and the Supply of Money and Credit: General; General Financial Markets: General (includes Measurement and Data); Price Level; Inflation; Deflation; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; Monetary economics; Investment & securities; Finance; Credit default swap; Bonds; Asset prices; Stocks; Asset valuation; Money; Financial institutions; Prices; Asset and liability management; Credit; Asset-liability management
• Soggetto geografico: United States
• Note generali: "April 2006."
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: ""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""
• Sommario/riassunto: 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.
• Titolo autorizzato: Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance
• ISBN: 1-4623-7503-0; 1-4527-9353-0; 1-283-51549-0; 1-4519-0898-9; 9786613827944
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910788405803321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2006/104