Default Probabilities According to the Bond Market
Författare
Summary, in English
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.
Avdelning/ar
Publiceringsår
2005
Språk
Engelska
Publikation/Tidskrift/Serie
Working Papers, Department of Economics, Lund University
Issue
7
Länkar
Dokumenttyp
Working paper
Förlag
Department of Economics, Lund University
Ämne
- Economics
Nyckelord
- bond market
- default probability term structure
Status
Published