Default Probabilities According to the Bond Market
AbstractIn 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 InfoPaper provided by Lund University, Department of Economics in its series Working Papers with number 2005:7.
Length: 13 pages
Date of creation: 26 Jan 2005
Date of revision:
Publication status: Published in Corporate Finance Review , 2005, pages 15-26.
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
More information through EDIRC
bond market; default probability term structure;
Find related papers by JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-01 (All new papers)
- NEP-CFN-2005-02-01 (Corporate Finance)
- NEP-FIN-2005-02-01 (Finance)
- NEP-FMK-2005-02-01 (Financial Markets)
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