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

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dc.coverage.sucursalBogotáspa
dc.creatorLeón-Rincón, Carlos Eduardo
dc.creator.firmaCarlos León
dc.date.accessioned2012-10-31T08:30:10Zeng
dc.date.available2012-10-31T08:30:10Z
dc.date.created2012-10-31
dc.date.issued2012-10-31
dc.description.abstractInformational 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 lieng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/5788spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/5788
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.743spa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 743
dc.relation.numberBorrador 743spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/743.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas 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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:bdr:borrec:743spa
dc.subject.jelG13 - Contingent Pricing; Futures Pricingeng
dc.subject.jelspaG33 - Insolvencia; Liquidaciónspa
dc.subject.keywordMerton modeleng
dc.subject.keywordStructural modeleng
dc.subject.keywordCredit riskeng
dc.subject.keywordProbability of defaulteng
dc.subject.keywordDistance to defaulteng
dc.subject.lembBolsa de valores -- Colombiaspa
dc.subject.lembRiesgo crediticio -- Colombiaspa
dc.subject.lembModelo de Merton -- Colombiaspa
dc.subject.lembRiesgo (Economía) -- Colombiaspa
dc.subject.lembMercado de capitales -- Colombiaspa
dc.titleImplied probabilities of default from Colombian money market spreads : the Merton Model under equity market informational constraintsspa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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