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

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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