Fundamentals-Based Estimation of Default Probabilities: A Survey

by Jorge A. Chan-Lau of the International Monetary Fund

June 2006

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.

JEL Classification: C5, C53, G00.

Keywords: Default probabilities, econometric models, scoring models, ratings models.

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