Market-implied risk-neutral probabilities, actual probabilities, credit risk and news
Motivated by the credit crisis, this paper investigates links between risk-neutral probabilities of default implied by markets (e.g. from yield spreads) and their actual counterparts (e.g. from ratings). It discusses differences between the two and clarifies underlying economic intuition using simpl...
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| Format: | Article |
| Language: | English |
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Elsevier
2011-09-01
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| Series: | IIMB Management Review |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S0970389611000656 |