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Default Probabilities According to the Bond Market

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Author Info

  • Byström , Hans

    ()
    (Department of Economics, Lund University)

  • Kwon, Oh Kang

    ()
    (Discipline of Finance,University of Sydney.)

Abstract

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.

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Bibliographic Info

Paper provided by Lund University, Department of Economics in its series Working Papers with number 2005:7.

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Length: 13 pages
Date of creation: 26 Jan 2005
Date of revision:
Publication status: Published in Corporate Finance Review , 2005, pages 15-26.
Handle: RePEc:hhs:lunewp:2005_007

Contact details of provider:
Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund,Sweden
Phone: +46 +46 222 0000
Fax: +46 +46 2224613
Web page: http://www.nek.lu.se/en
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Keywords: bond market; default probability term structure;

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