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

Borradores de Economia
Number: 
743
Published: 
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
Download document

The most recent

Fertility in Colombia: Recent Trends and Socioeconomic Determinants.
Juliana Jaramillo-Echeverri, Adriana Sofía Rodríguez
Spatial Mobility, Economic Opportunity, and Crime
Gaurav Khanna, Carlos Alberto Medina-Durango, Anant Nyshadham, Daniel Ramos-Menchelli, Jorge Andrés Tamayo-Castaño, Audrey Tiew
Forecasting Disaggregated Food Inflation Baskets in Colombia with an XGBoost Model
Cesar Anzola-Bravo, Poveda-Olarte Paola

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