Default Probabilities According to the Bond Market
Publikation/Tidskrift/Serie: Working Papers, Department of Economics, Lund University
Dokumenttyp: Working paper
Förlag: Department of Economics, Lund Universtiy
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.
- bond market
- default probability term structure