Default Probabilities According to the Bond Market

Hans Byström and Oh Kang Kwon ()
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Oh Kang Kwon: Discipline of Finance,University of Sydney., Postal: Discipline of Finance, University of Sydney

No 2005:7, Working Papers from Lund University, Department of Economics

Abstract: 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.

Keywords: bond market; default probability term structure (search for similar items in EconPapers)
JEL-codes: C20 G33 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2005-01-26
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-fmk
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Published in Corporate Finance Review , 2005, pages 15-26.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:lunewp:2005_007

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