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

Número: 
743
Publicado: 
Palabras clave: 
Merton model, Structural model, Credit risk, Probability of default

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Lina Fernanda Torres-Gutierrez, Gonzalo Ossa-Stipcianos, Edwin Mauricio Parra-Rodriguez, Egberto Alexander Riveros, Alvaro José Martinez-Monroy, Julián Andrés Gomez-Duran, Juan Sebastián Rojas-Moreno

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