Default Probabilities According to the Bond Market
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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|Date of creation:||26 Jan 2005|
|Date of revision:|
|Publication status:||Published in Corporate Finance Review , 2005, pages 15-26.|
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