Verfügbarkeit: Probabilities of Default and the Market Price of Risk in a Distressed Economy

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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1. Verfasser:	Segoviano Basurto, Miguel A. (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2011
Schriftenreihe:	IMF Working Papers Working Paper No. 11/75
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	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 the market price of risk, conditional on it exceeding a certain threshold) is computed from the price of risk (which is the variance of the market price of risk) and the discount factor (which is the inverse of the expected market price of risk). The threshold is endogenously determined so that the probability of the price of risk exceeding it is also the probability of distress of the asset. The price of risk can be estimated via different methods, for instance derived from the VIX or from the factors in a Fama-MacBeth regression
Beschreibung:	1 Online-Ressource (14 p)
ISBN:	1455227048 9781455227044

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series2	IMF Working Papers
spelling	Segoviano Basurto, Miguel A. Verfasser aut Probabilities of Default and the Market Price of Risk in a Distressed Economy Segoviano Basurto, Miguel A Washington, D.C International Monetary Fund 2011 1 Online-Ressource (14 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 11/75 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 the market price of risk, conditional on it exceeding a certain threshold) is computed from the price of risk (which is the variance of the market price of risk) and the discount factor (which is the inverse of the expected market price of risk). The threshold is endogenously determined so that the probability of the price of risk exceeding it is also the probability of distress of the asset. The price of risk can be estimated via different methods, for instance derived from the VIX or from the factors in a Fama-MacBeth regression Online-Ausg Espinoza, Raphael A. Sonstige oth http://elibrary.imf.org/view/IMF001/11754-9781455227044/11754-9781455227044/11754-9781455227044.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Segoviano Basurto, Miguel A. Probabilities of Default and the Market Price of Risk in a Distressed Economy
title	Probabilities of Default and the Market Price of Risk in a Distressed Economy
title_auth	Probabilities of Default and the Market Price of Risk in a Distressed Economy
title_exact_search	Probabilities of Default and the Market Price of Risk in a Distressed Economy
title_exact_search_txtP	Probabilities of Default and the Market Price of Risk in a Distressed Economy
title_full	Probabilities of Default and the Market Price of Risk in a Distressed Economy Segoviano Basurto, Miguel A
title_fullStr	Probabilities of Default and the Market Price of Risk in a Distressed Economy Segoviano Basurto, Miguel A
title_full_unstemmed	Probabilities of Default and the Market Price of Risk in a Distressed Economy Segoviano Basurto, Miguel A
title_short	Probabilities of Default and the Market Price of Risk in a Distressed Economy
title_sort	probabilities of default and the market price of risk in a distressed economy
url	http://elibrary.imf.org/view/IMF001/11754-9781455227044/11754-9781455227044/11754-9781455227044.xml
work_keys_str_mv	AT segovianobasurtomiguela probabilitiesofdefaultandthemarketpriceofriskinadistressedeconomy AT espinozaraphaela probabilitiesofdefaultandthemarketpriceofriskinadistressedeconomy

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