02051cas a2200301 a 4500 AALejournalIMF021642 230101c9999 xx r poo 0 0eng d 18.00 USD 9781513573533 1018-5941 BD-DhAAL BD-DhAAL Chan-Lau, Jorge. Scenario Analysis with the DD-PD Mapping Approach : Stock Market Shocks and U.S. Corporate Default Risk / Jorge Chan-Lau. Washington, D.C. : International Monetary Fund, 2021. 1 online resource (24 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 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 quantitative and narrative scenarios informed by expert judgment. At end-2020, risks from stock market corrections in the U.S. are concentrated in the energy, financial and technology sectors, and additional bank capital needs could be large. The paper concludes discussing uses of the mapping beyond PD valuation suitable for capital structure analysis, credit portfolio management, and long-term scenario planning analysis. Mode of access: Internet Default Risk, Stock Markets and Quantile Regression imf Foreign Exchange imf Informal Economy imf Probability Of Default and Distance-To-Default imf Underground Econom imf IMF Working Papers; Working Paper ; No. 2021/143 Full text available on IMF http://elibrary.imf.org/view/journals/001/2021/143/001.2021.issue-143-en.xml IMF e-Library