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Default Probabilities According to the Bond Market

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Author

Summary, in English

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.

Publishing year

2005

Language

English

Publication/Series

Working Papers, Department of Economics, Lund University

Issue

7

Document type

Working paper

Publisher

Department of Economics, Lund University

Topic

  • Economics

Keywords

  • bond market
  • default probability term structure

Status

Published