Aplicaciones del Modelo Binomial para el Análisis de Riesgo
AbstractIn this paper we analyze two risk measures using the Binomial Model. In one case we show that the distance-to-default measure is indeed a Z-statistic. In an empirical application we estimate the probability of default for Chilean banks. Our second measure is a pseudo implied volatility which is obtained from a question. From a small survey we find that results are consistent with market values. Finally, we consider the worst case scenario analysis applied to Value at Risk and to callable bonds.
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Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 631.
Date of creation: May 2011
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