Scenario Analysis with the DD-PD Mapping Approach : Stock Market Shocks and U.S. Corporate Default Risk /
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitativ...
| Autor principal: | |
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| Format: | Revista |
| Idioma: | English |
| Publicat: |
Washington, D.C. :
International Monetary Fund,
2021.
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| Col·lecció: | IMF Working Papers; Working Paper ;
No. 2021/143 |
| Matèries: | |
| Accés en línia: | Full text available on IMF |