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

Carlos Eduardo
León-Rincón
Lunes, 1 Octubre 2012

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