Fundamentals-Based Estimation of Default Probabilities - A Survey

Jorge Chan-Lau

No 2006/149, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; default probability; credit scoring (search for similar items in EconPapers)
Pages: 20
Date: 2006-06-01
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Citations: View citations in EconPapers (29)

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