Fundamentals-Based Estimation of Default Probabilities: A Survey
AbstractThis survey reviews a number of different fundamentals-based models for estimating default probabilities for firms and/or industries, and illustrates them with real applications by practitioners and policy making institutions. The models are especially useful when the firms analyzed do not have publicly traded securities or secondary market prices are unreliable because of low liquidity.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 06/149.
Date of creation: 01 Jun 2006
Date of revision:
Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-08-05 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006.
"Macroeconomic Dynamics and Credit Risk: A Global Perspective,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
- Pesaran, M.H. & Schuermann, T. & Treutler, B-J. & Weiner, S.M., 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Cambridge Working Papers in Economics 0330, Faculty of Economics, University of Cambridge.
- Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & M. Hashem Pesaran, 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," CESifo Working Paper Series 995, CESifo Group Munich.
- M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, . "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers 03-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Pamela Nickell & William Perraudin & Simone Varotto, 2001.
"Stability of ratings transitions,"
Bank of England working papers
133, Bank of England.
- Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.
- Gabriel Jiménez & Jesús Saurina, 2005. "Credit cycles, credit risk, and prudential regulation," Banco de Espaï¿½a Working Papers 0531, Banco de Espa�a.
- Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, 09.
- Bernanke, Ben & Gertler, Mark, 1989. "Agency Costs, Net Worth, and Business Fluctuations," American Economic Review, American Economic Association, vol. 79(1), pages 14-31, March.
- Til Schuermann & Samuel Hanson, 2004. "Estimating probabilities of default," Staff Reports 190, Federal Reserve Bank of New York.
- Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
- Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
- Veronica Balzarotti & Michael Falkenheim & Andrew Powell, 2002. "On the Use of Portfolio Risk Models and Capital Requirements in Emerging Markets: The Case of Argentina," World Bank Economic Review, World Bank Group, vol. 16(2), pages 197-212, August.
- Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank, Research Centre.
- Miroslav Misina & David Tessier, 2008. "Non-Linearities, Model Uncertainty, and Macro Stress Testing," Working Papers 08-30, Bank of Canada.
- Jarko Fidrmuc & Christa Hainz, 2009.
"Default Rates in the Loan Market for SMEs:Evidence from Slovakia,"
Ifo Working Paper Series
Ifo Working Paper No. 72, Ifo Institute for Economic Research at the University of Munich.
- Fidrmuc, Jarko & Hainz, Christa, 2010. "Default rates in the loan market for SMEs: Evidence from Slovakia," Economic Systems, Elsevier, vol. 34(2), pages 133-147, June.
- Jarko Fidrmuc & Christa Hainz & Anton Malesich, 2006. "Default Rates in the Loan Market for SMEs: Evidence from Slovakia," William Davidson Institute Working Papers Series wp854, William Davidson Institute at the University of Michigan.
- Nguenang, Christian & Kamgna, Sévérin yves & Tinang, Nzeusseu Jules, 2010.
"Une approche Macroprudentielle du risque systémique en zone CEMAC
[A Macro-prudential approach of systemic risk in CEMAC zone]," MPRA Paper 25632, University Library of Munich, Germany.
- Antonella Foglia, 2009. "Stress Testing Credit Risk: A Survey of Authorities' Aproaches," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 9-45, September.
- Céline Gauthier & Zhongfang He & Moez Souissi, 2010. "Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings," Working Papers 10-29, Bank of Canada.
- Dale Gray & Carlos García T. & Leonardo Luna B. & Jorge E. Restrepo L., 2009.
"Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile,"
Journal Economía Chilena (The Chilean Economy),
Central Bank of Chile, vol. 12(2), pages 11-33, August.
- Dale F. Gray & Carlos J. García & Leonardo Luna & Jorge E. Restrepo, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 6, pages 159-197 Central Bank of Chile.
- Dale Gray & Carlos García & Leonardo Luna & Jorge E. Restrepo, 2009. "Incorporating Financial Sector Risk into Monetary Policy Models: Application to Chile," Working Papers Central Bank of Chile 553, Central Bank of Chile.
- Dale F. Gray & Carlos Garcia & Leonardo Luna & Jorge Restrepo, 2009. "Incorporation financial sector risk into monetary policy models: application to Chile," ILADES-Georgetown University Working Papers inv229, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines.
- Leonardo Luna & Dale F. Gray & Jorge Restrepo & Carlos Garcia, 2011. "Incorporating Financial Sector Risk into Monetary Policy Models: Application to Chile," IMF Working Papers 11/228, International Monetary Fund.
- Per Asberg Sommar & Hovick Shahnazarian, 2009. "Interdependencies between Expected Default Frequency and the Macro Economy," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 83-110, September.
- Rodolfo Maino & Kalin Tintchev, 2012. "From Stress to CoStress: Stress Testing Interconnected Banking Systems," IMF Working Papers 12/53, International Monetary Fund.
- Dietske Simons & Ferdinand Rolwes, 2009. "Macroeconomic efault Modeling and Stress Testing," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 177-204, September.
- Cristina Maria Triandafil & Petre Brezeanu, 2009. "Exploring the Link between Idiosyncratic and Fundamental Indicators. Evidence on CEE Corporate Segment," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 027-034, December.
- Åsberg Sommar, Per & Shahnazarian, Hovick, 2008. "Macroeconomic Impact on Expected Default Frequency," Working Paper Series 219, Sveriges Riksbank (Central Bank of Sweden).
- Pesola, Jarmo, 2007. "Financial fragility, macroeconomic shocks and banks’ loan losses: evidence from Europe," Research Discussion Papers 15/2007, Bank of Finland.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).
If references are entirely missing, you can add them using this form.