European Parliament Library

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

Abstract
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
Table Of Contents
""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""
Language
eng
Literary Form
non fiction
Edition
1st ed.
Note
"April 2006."
Physical Description
1 online resource (19 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462375035

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