Estimation of Default Probabilities - Part 2: Market Factor Based Techniques

RiskNEWS, July 2002

15 Pages Posted: 20 Mar 2003

See all articles by Uwe Wehrspohn

Uwe Wehrspohn

Wehrspohn GmbH & Co. KG; University of Wuerzburg

Abstract

The article analyzes the methods by Merton and by Stuart and Turnbull to estimate firms' default probabilities, shows their strengths and weaknesses and indicates how they can be used efficiently in credit risk management in banks.

Note: The downloadable document is in German.

JEL Classification: C13, G28

Suggested Citation

Wehrspohn, Uwe, Estimation of Default Probabilities - Part 2: Market Factor Based Techniques. RiskNEWS, July 2002, Available at SSRN: https://ssrn.com/abstract=370240 or http://dx.doi.org/10.2139/ssrn.370240

Uwe Wehrspohn (Contact Author)

Wehrspohn GmbH & Co. KG ( email )

Nietzschestra├če 20
Mannheim, D-68165
Germany
+49 (0) 621 14626754 (Phone)

HOME PAGE: http://www.wehrspohn.info

University of Wuerzburg ( email )

Sanderring 2
Wuerzburg, Bavaria 97070
Germany
+49 (0)931 / 3184806 (Phone)
+49 (0)931 / 312 95 5 (Fax)

HOME PAGE: http://www.fzrm.uni-wuerzburg.de

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