Franklin

The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy [electronic resource] Capuano, Christian.

Author/Creator:
Capuano, Christian.
Publication:
Washington, D.C. : International Monetary Fund, 2008.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 08/194.
IMF Working Papers; Working Paper No. 08/194
Format/Description:
Government document
Book
1 online resource (29 p.)
Local subjects:
Bond. (search)
Bond holder. (search)
Bond markets. (search)
Bonds. (search)
Convertible bonds. (search)
Coupon bond. (search)
Coupon bonds. (search)
Credit. (search)
Credit derivatives. (search)
Cumulative distribution function. (search)
Derivative. (search)
Distributional assumption. (search)
Econometrics. (search)
Empirical validity. (search)
Equation. (search)
Equations. (search)
Financial institutions. (search)
Financial market. (search)
Financial risk. (search)
Financial stability. (search)
Free parameter. (search)
Lognormal distribution. (search)
Mathematica. (search)
Mathematical statistics. (search)
Normal density. (search)
Operations research. (search)
Optimization. (search)
Polynomial. (search)
Present value. (search)
Probabilities. (search)
Probability. (search)
Probability density. (search)
Probability density function. (search)
Probability distribution. (search)
Random variable. (search)
Risk management. (search)
Skewness. (search)
Standard deviation. (search)
Statistics. (search)
Stock price. (search)
Zero-coupon bonds. (search)
France. (search)
Summary:
We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and leverage, and on the Greek letters (delta, gamma and vega). We show how to extend the framework by using information from the price of a zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment.
Notes:
Description based on print version record.
Contributor:
Capuano, Christian.
Other format:
Print Version:
ISBN:
1451870523:
9781451870527
ISSN:
1018-5941
Publisher Number:
10.5089/9781451870527.001
Access Restriction:
Restricted for use by site license.
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