Estimation of Default Probabilities - Part 2: Market Factor Based Techniques
RiskNEWS, July 2002
15 Pages Posted: 20 Mar 2003
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