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

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