The Option-iPoD : the probability of default implied by option prices based on entropy /
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Main Author: | |
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Corporate Author: | |
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.