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Aplicaciones del Modelo Binomial para el Análisis de Riesgo

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  • Rodrigo A. Alfaro.
  • Andrés Sagner
  • Carmen G. Silva

Abstract

In 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 Info

Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 631.

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Date of creation: May 2011
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Handle: RePEc:chb:bcchwp:631

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  1. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  2. Dale J. Poirier, 1995. "Intermediate Statistics and Econometrics: A Comparative Approach," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262161494, December.
  3. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
  4. Rodrigo Alfaro & Andrés Sagner, 2009. "When RSI met the Binomial-Tree," Working Papers Central Bank of Chile 520, Central Bank of Chile.
  5. Rodrigo Alfaro & Natalia Gallardo, 2009. "Análisis de Derechos Contingentes: Aplicación a Casas Comerciales," Working Papers Central Bank of Chile 535, Central Bank of Chile.
  6. Rodrigo A. Alfaro & Carmen Gloria Silva, 2008. "Volatilidad de Indices Accionarios: El caso del IPSA," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 217-233.
  7. Sreedhar T. Bharath & Tyler Shumway, 2008. "Forecasting Default with the Merton Distance to Default Model," Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1339-1369, May.
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