dc.creator	León-Rincón, Carlos Eduardo
dc.date.created	2012-10-31
dc.date.issued	2012-10-31
dc.identifier.uri	https://repositorio.banrep.gov.co/handle/20.500.12134/5788
dc.description.abstract	Informational constraints may turn the Merton Model for corporate credit risk impractical. Applying this framework to the Colombian financial sector is limited to four stock-market-listed firms; more than a hundred banking and non-banking firms are not li
dc.format.mimetype	PDF
dc.language.iso	spa
dc.publisher	Banco de la República
dc.relation.ispartof	Documentos de Trabajo
dc.relation.ispartofseries	Borradores de Economía
dc.relation.isversionof	Borradores de Economía; No. 743
dc.rights.accessRights	Open Access
dc.rights.uri	https://creativecommons.org/licenses/by-nc-sa/4.0/
dc.title	Implied probabilities of default from Colombian money market spreads : the Merton Model under equity market informational constraints
dc.type	Working Paper
dc.subject.jel	G13 - Contingent Pricing; Futures Pricing
dc.subject.jel	G2 - Financial Institutions and Services
dc.subject.jel	G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
dc.subject.jel	G33 - Bankruptcy; Liquidation
dc.subject.keyword	Merton model
dc.subject.keyword	Structural model
dc.subject.keyword	Credit risk
dc.subject.keyword	Probability of default
dc.subject.keyword	Distance to default
dc.subject.lemb	Bolsa de valores -- Colombia
dc.subject.lemb	Riesgo crediticio -- Colombia
dc.subject.lemb	Modelo de Merton -- Colombia
dc.subject.lemb	Riesgo (Economía) -- Colombia
dc.subject.lemb	Mercado de capitales -- Colombia
dc.type.spa	Documentos de trabajo
dc.rights.spa	Acceso abierto
dc.rights.cc	Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspa	G33 - Insolvencia; Liquidación
dc.subject.jelspa	G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio
dc.subject.jelspa	G2 - Instituciones y servicios financieros
dc.subject.jelspa	G13 - Valoración de activos contingentes y de futuros
dc.type.hasversion	Published Version
dc.coverage.sucursal	Bogotá
dc.relation.doi	https://doi.org/10.32468/be.743
dc.rights.disclaimer	Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.repec	https://ideas.repec.org/p/bdr/borrec/743.html
dc.identifier.handle	https://hdl.handle.net/20.500.12134/5788
dc.creator.firma	Carlos León
dc.source.handleRepec	RePEc:bdr:borrec:743

Implied probabilities of default from Colombian money market spreads : the Merton Model under equity market informational constraints

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