Probabilities of Default and the Market Price of Risk in a Distressed Economy /
We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one-factor asset pricing model. The market price of risk under stress (the expectation of...
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| Format: | Revue |
| Langue: | English |
| Publié: |
Washington, D.C. :
International Monetary Fund,
2011.
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| Collection: | IMF Working Papers; Working Paper ;
No. 2011/075 |
| Accès en ligne: | Full text available on IMF |