Download This PaperEstimation of Default Probabilities - Part 2: Market Factor Based Techniques
RiskNEWS, July 2002
15 Pages Posted: 20 Mar 2003
Abstract
The article analyzes the methods by Merton and by Stuart and Turnbull to estimate firms' default probabilities, shows their strengths and weaknesses and indicates how they can be used efficiently in credit risk management in banks.
Note: The downloadable document is in German.
JEL Classification: C13, G28
Suggested Citation: Suggested Citation
Wehrspohn, Uwe, Estimation of Default Probabilities - Part 2: Market Factor Based Techniques. RiskNEWS, July 2002, Available at SSRN: https://ssrn.com/abstract=370240 or http://dx.doi.org/10.2139/ssrn.370240
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.