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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Jaime Alfredo Bonet-Moron, Yuri Carolina Reina-Aranza, Adriana Ortega, Ana Rosa Polanco

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