Aplicaciones del Modelo Binomial para el Análisis de Riesgo
Rodrigo Alfaro (),
Andres Sagner () and
Carmen G. Silva
Working Papers Central Bank of Chile from Central Bank of Chile
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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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:631
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