The Option-iPoD : the probability of default implied by option prices based on entropy /

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Bibliographic Details
Main Author: Capuano, Christian, 1975- (Author)
Corporate Author: International Monetary Fund. Monetary and Capital Markets Department
Format: Electronic eBook
Language:English
Published: Washington, D.C. : International Monetary Fund, ©2008.
©2008
Subjects:
Online Access: Full text (MFA users only)
ISBN:1451915055
9781451915051
9781451991321
1451991320
9781451870527
1451870523
Local Note:ProQuest Ebook Central
Table of Contents:
  • Intro
  • Contents
  • I. Introduction
  • II. The Problem
  • III. Solution
  • IV. What can Equity Options Say About Default?
  • V. Empirical Implementation
  • VI. Results
  • VII. Listen to Option -iPoD. The Collapse of Bear Stearns
  • VIII. Caveats
  • IX. Zero-Coupon Option-iPoD
  • X. Conclusions
  • Tables
  • 1. Option Contracts Cycles
  • 2. Citigroup, Strikes, Volume and Weights
  • 3. Citigroup: Summary of Results
  • 4. Citigropu: Leverage-at-Risk
  • Figures
  • 1. Citigroup, February 12, 2008: Option -iPoD and the Probability Density Function
  • 2. Citigroup: Term-Structure of Option -iPoD on February 12, 2008
  • 3. Citigroup: Expected Balance Sheet Developments on February 12, 2008
  • 4. Moody's KMV Expected Default Frequency in One Year
  • 5. Listen to Option -iPoD. The Collapse of Bear Stearns
  • 6. Bear Stearns, March 14, 2008: Option -iPoD and the Probability Density Function
  • Appendices
  • 1. Results From The Ten Largest U.S. Financial Institutions
  • 2. Extension with Zero-Coupon Bond
  • References.