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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

Abstract: 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.

Date: 2011-05
New Economics Papers: this item is included in nep-rmg
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