In this paper we describe a simple way of analytically computing entire ìterm structures of default probabilities using information embedded in the corporate bond market data. This market-based approach of estimating the creditworthiness of firms gives probabilities of default at various maturities, and has the advantage over traditional credit ratings in that it is dynamic and forward looking
This thesis presents three studies on credit risk modelling. The first study compares the real defau...
This Working Paper should not be reported as representing the views of the IMF. The views expressed ...
By modeling debt rollover and endogenizing holding costs via collateralized financing, we develop a ...
In this paper we investigate a reduced-form model for dynamically estimating the risk-neutral defaul...
Sovereign risk analysis is central in debt markets. Considering different bonds and coun-tries, ther...
Sovereign risk analysis is central in debt markets. Considering different bonds and countries, there...
Default probabilities are important to the credit markets. Changes in default probabilities may fore...
Default probabilities are important to the credit markets. Changes in default probabilities of a bor...
Implementation of reliable rating systems for small credit portfolio is hindered by non-observed def...
In this thesis, we provide a new structural model for default of a single name which is an extension...
The purpose of this paper is to develop and test a model of the probability of default on corporate ...
In small samples and especially in the case of small true default probabilities, standard approaches...
Under the native-born model of default and the circular model of default, we take the price of cre-d...
In this paper we address two main issues: the computation of default probability implicit in emergin...
The rigorous thesis deals with the advanced methods for estimating credit risk parameters from marke...
This thesis presents three studies on credit risk modelling. The first study compares the real defau...
This Working Paper should not be reported as representing the views of the IMF. The views expressed ...
By modeling debt rollover and endogenizing holding costs via collateralized financing, we develop a ...
In this paper we investigate a reduced-form model for dynamically estimating the risk-neutral defaul...
Sovereign risk analysis is central in debt markets. Considering different bonds and coun-tries, ther...
Sovereign risk analysis is central in debt markets. Considering different bonds and countries, there...
Default probabilities are important to the credit markets. Changes in default probabilities may fore...
Default probabilities are important to the credit markets. Changes in default probabilities of a bor...
Implementation of reliable rating systems for small credit portfolio is hindered by non-observed def...
In this thesis, we provide a new structural model for default of a single name which is an extension...
The purpose of this paper is to develop and test a model of the probability of default on corporate ...
In small samples and especially in the case of small true default probabilities, standard approaches...
Under the native-born model of default and the circular model of default, we take the price of cre-d...
In this paper we address two main issues: the computation of default probability implicit in emergin...
The rigorous thesis deals with the advanced methods for estimating credit risk parameters from marke...
This thesis presents three studies on credit risk modelling. The first study compares the real defau...
This Working Paper should not be reported as representing the views of the IMF. The views expressed ...
By modeling debt rollover and endogenizing holding costs via collateralized financing, we develop a ...