Measuring option implied degree of distress in the US financial sector using the entropy principle
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References listed on IDEAS
- Christian Capuano, 2008. "The Option-iPoD," IMF Working Papers 08/194, International Monetary Fund.
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
- Jérôme Coffinet & Adrian Pop & Muriel Tiesset, 2010.
"Predicting Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics,"
- Coffinet, J. & Pop, A. & Tiesset, M., 2010. "Predicting Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics," Working papers 311, Banque de France.
More about this item
KeywordsEntropy Principle; Risk Neutral Density; Probability of Default; Financial Stability Indicator; Credit Default Swaps;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-22 (All new papers)
- NEP-BAN-2012-12-22 (Banking)
- NEP-RMG-2012-12-22 (Risk Management)
- NEP-UPT-2012-12-22 (Utility Models & Prospect Theory)
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