Market-based estimation of default probabilities and its application to financial market surveillance /
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...
| Main Authors: | , |
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| Corporate Author: | |
| Format: | Book |
| Language: | English |
| Published: |
[Washington, D.C.] :
International Monetary Fund, IMF Institute,
2006
[Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., 2006 Washington, D.C. : International Monetary Fund, 2006 |
| Series: | IMF Working Papers ;
Working Paper No. 06/104 IMF eLibrary IMF working paper ; WP/06/104 |
| Subjects: |
Internet
This item is not available through BorrowDirect. Please contact your institution’s interlibrary loan office for further assistance.Massachusetts Institute of Technology
| Call Number: |
HG3810.I45 no.WP/06/104 |
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