Extracting Default Probabilities from Sovereign Bonds
نویسندگان
چکیده
منابع مشابه
Default Probabilities on European Sovereign Debt: Market-based Estimates
This paper attempts to extract real-time market-based estimates of the default probabilities on Government debt for a selection of European countries, using a technique applied by Bierman and Hass (1979) and Fons (1987) in the corporate debt market. The technique involves solving the debt pricing equation for the martingale probabilities which under the no-arbitrage assumption equate the price ...
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ژورنال
عنوان ژورنال: Brazilian Review of Econometrics
سال: 2008
ISSN: 1980-2447
DOI: 10.12660/bre.v28n12008.1518