Fundamentals-Based Estimation of Default Probabilities: A Survey

This 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.

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Year of publication:	2006-06-01
Authors:	Chan-Lau, Jorge A.
Institutions:	International Monetary Fund (IMF)
Subject:	Financial stability \| Credit controls \| Economic models \| probabilities \| probability \| banking \| forecasting \| bankrupt \| probability of default \| equations \| cohort analysis \| discriminant analysis \| equation \| confidence intervals \| banking supervision \| statistical techniques \| survey \| normal distribution \| bankrupt firms \| prediction \| prudential regulation \| banking practices \| random variable \| empirical framework \| working capital \| confidence interval \| nearest neighbor classifier \| probability distribution \| parsimonious model \| accounts receivable turnover \| data analysis \| univariate analyses \| covariance \| vector autoregression \| bank for international settlements \| banks ? loan \| binomial distribution \| functional forms \| bank of england \| retained earnings

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Extent:	application/pdf
Series:	IMF Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series IMF Working Papers Number 06/149 2 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005605119