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Aplicaciones del Modelo Binomial para el Análisis de Riesgo

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  • Rodrigo A. Alfaro.
  • Andrés Sagner
  • Carmen G. Silva

Abstract

In this paper we analyze two risk measures using the Binomial Model. In one case we show that the distance-to-default measure is indeed a Z-statistic. In an empirical application we estimate the probability of default for Chilean banks. Our second measure is a pseudo implied volatility which is obtained from a question. From a small survey we find that results are consistent with market values. Finally, we consider the worst case scenario analysis applied to Value at Risk and to callable bonds.

Suggested Citation

  • Rodrigo A. Alfaro. & Andrés Sagner & Carmen G. Silva, 2011. "Aplicaciones del Modelo Binomial para el Análisis de Riesgo," Working Papers Central Bank of Chile 631, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:631
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    References listed on IDEAS

    as
    1. Rodrigo Alfaro A. & Natalia Gallardo S. & Camilo Vio G., 2010. "Análisis de Derechos Contingentes: Aplicación a Casas Comerciales," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(1), pages 73-82, April.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. Rodrigo A. Alfaro & Carmen Gloria Silva, 2008. "Volatilidad de Indices Accionarios: El caso del IPSA," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 217-233.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    5. Mr. Jorge A Chan-Lau, 2010. "The Global Financial Crisis and its Impact on the Chilean Banking System," IMF Working Papers 2010/108, International Monetary Fund.
    6. Hans Byström, 2003. "Merton for Dummies: A Flexible Way of Modelling Default Risk," Research Paper Series 112, Quantitative Finance Research Centre, University of Technology, Sydney.
    7. Dale J. Poirier, 1995. "Intermediate Statistics and Econometrics: A Comparative Approach," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262161494, December.
    8. Felipe Zurita, 2008. "La Predicción de la Insolvencia de Empresas Chilenas," Documentos de Trabajo 336, Instituto de Economia. Pontificia Universidad Católica de Chile..
    9. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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