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Fundamentals-Based Estimation of Default Probabilities - A Survey

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  • Mr. Jorge A Chan-Lau

Abstract

This survey reviews a number of different fundamentals-based models for estimating default probabilities for firms and/or industries, and illustrates them with real applications by practitioners and policy making institutions. The models are especially useful when the firms analyzed do not have publicly traded securities or secondary market prices are unreliable because of low liquidity.

Suggested Citation

  • Mr. Jorge A Chan-Lau, 2006. "Fundamentals-Based Estimation of Default Probabilities - A Survey," IMF Working Papers 2006/149, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2006/149
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