01653cas a2200241 a 4500 AALejournalIMF004044 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451863642 1018-5941 BD-DhAAL BD-DhAAL Chan-Lau, Jorge. Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance / Jorge Chan-Lau. Washington, D.C. : International Monetary Fund, 2006. 1 online resource (19 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and stress testing financial systems. The choice of techniques was guided by their ease of implementation and their applicability to a wide cross-section of countries and markets. Simple one-period cases are studied to sharpen the reader's intuition, and the usefulness of each technique for enhancing financial surveillance is illustrated with real applications. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2006/104 Full text available on IMF http://elibrary.imf.org/view/journals/001/2006/104/001.2006.issue-104-en.xml IMF e-Library