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

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Borradores de Economía; No. 743

Date published

2012-10-31

Date

2012-10-31

Authors

León-Rincón, Carlos Eduardo

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Document language

spa
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The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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

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JEL Codes

G13 - Contingent Pricing; Futures Pricing

Temática

Keywords

Keywords

Merton model , Structural model , Credit risk , Probability of default , Distance to default

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5788
 https://hdl.handle.net/20.500.12134/5788
 https://ideas.repec.org/p/bdr/borrec/743.html
 https://doi.org/10.32468/be.743

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