Abstract
This work focuses on obtaining default probabilities for the Spanish case, in order to study the impact of the current economic situation on company credit risk. Using Merton's model (1974) we estimate the likelihood that outstanding non-financial companies listed on the Spanish stock exchange market would have to default on its debt obligations over the period from January 2002 to December 2011. Based upon the number of shares of each company, the observable price of a share and its volatility, and the short and long term debt face value, we computed company values and volatility. These data are used to determine the monthly time series of default probabilities for selected companies over the period analyzed. The analysis carried out reveals a negative impact of the economic crisis over these probabilities, especially in the sector of Financial Services and Real Estate.
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