Updating the Option Implied Probability of Default Methodology
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References listed on IDEAS
- D. Ormoneit & H. White, 1999. "An efficient algorithm to compute maximum entropy densities," Econometric Reviews, Taylor & Francis Journals, vol. 18(2), pages 127-140.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
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- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Knaup, M., 2011. "Market-based measures of bank risk and bank aggressiveness," Other publications TiSEM cff93cd4-1955-40ab-a3c0-a, Tilburg University, School of Economics and Management.
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- Christian Capuano, 2008. "The Option-iPoD," IMF Working Papers 08/194, International Monetary Fund.
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- Philipp Matros & Johannes Vilsmeier, 2013. "The Multivariate Option iPoD Framework - Assessing Systemic Financial Risk," Working Papers 143, Bavarian Graduate Program in Economics (BGPE).
- Matros, Philipp & Vilsmeier, Johannes, 2014. "The multivariate option iPoD framework: assessing systemic financial risk," Discussion Papers 20/2014, Deutsche Bundesbank.
More about this item
KeywordsOption Implied Probability of Default; Risk Neutral Density; Cross Entropy;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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