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Default Probabilities According to the Bond Market

Byström, Hans LU and Kwon, Oh Kang (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.
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author
organization
publishing date
type
Working Paper
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 Universtiy
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
2009-04-20 12:27:26
date last changed
2016-07-06 13:47:25
@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},
  keyword      = {bond market,default probability term structure},
  language     = {eng},
  number       = {7},
  publisher    = {ARRAY(0xc1666b8)},
  series       = {Working Papers, Department of Economics, Lund University},
  title        = {Default Probabilities According to the Bond Market},
  year         = {2005},
}