Default Probabilities According to the Bond Market
(2005) In Working Papers, Department of Economics, Lund University- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1387603
- author
- Byström, Hans LU and Kwon, Oh Kang
- organization
- publishing date
- 2005
- type
- Working paper/Preprint
- publication status
- published
- subject
- keywords
- bond market, default probability term structure
- in
- Working Papers, Department of Economics, Lund University
- issue
- 7
- publisher
- Department of Economics, Lund University
- language
- English
- LU publication?
- yes
- id
- f021b266-d77c-4263-9598-8709dd2501fd (old id 1387603)
- alternative location
- http://swopec.hhs.se/lunewp/abs/lunewp2005_007.htm
- date added to LUP
- 2016-04-04 11:39:35
- date last changed
- 2018-11-21 21:06:20
@misc{f021b266-d77c-4263-9598-8709dd2501fd, 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.}}, author = {{Byström, Hans and Kwon, Oh Kang}}, keywords = {{bond market; default probability term structure}}, language = {{eng}}, note = {{Working Paper}}, number = {{7}}, publisher = {{Department of Economics, Lund University}}, series = {{Working Papers, Department of Economics, Lund University}}, title = {{Default Probabilities According to the Bond Market}}, url = {{http://swopec.hhs.se/lunewp/abs/lunewp2005_007.htm}}, year = {{2005}}, }