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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.
Please use this url to cite or link to this publication:
author
and
organization
publishing date
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}},
}