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Aplicaciones del Modelo Binomial para el Análisis de Riesgo

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

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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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
Date of revision:
Handle: RePEc:chb:bcchwp:631
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  1. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
  2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  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. Jorge A. Chan-Lau, 2010. "The Global Financial Crisis and its Impact on the Chilean Banking System," IMF Working Papers 10/108, International Monetary Fund.
  5. Rodrigo Alfaro & Andrés Sagner, 2009. "When RSI met the Binomial-Tree," Working Papers Central Bank of Chile 520, Central Bank of Chile.
  6. Dale J. Poirier, 1995. "Intermediate Statistics and Econometrics: A Comparative Approach," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262161494, June.
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