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20240909213021.0 |
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091028s2008 dcua ob 000 0 eng d |
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|d OCLCQ
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|a 875238678
|a 961637274
|a 962617020
|a 1055381909
|a 1066613851
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|a 1451915055
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|a 9781451915051
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|a 9781451991321
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|a 1451991320
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|a 1451870523
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8 |
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|a 10.5089/9781451915051.001
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|a (OCoLC)460638766
|z (OCoLC)875238678
|z (OCoLC)961637274
|z (OCoLC)962617020
|z (OCoLC)1055381909
|z (OCoLC)1066613851
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|b 00013468
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|a HG3810
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| 049 |
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|a HCDD
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| 100 |
1 |
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|a Capuano, Christian,
|d 1975-
|e author.
|1 https://id.oclc.org/worldcat/entity/E39PCjF4fYdyVDYdwb8bV9bJH3
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| 245 |
1 |
4 |
|a The Option-iPoD :
|b the probability of default implied by option prices based on entropy /
|c prepared by Christian Capuano.
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| 260 |
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|a Washington, D.C. :
|b International Monetary Fund,
|c ©2008.
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| 264 |
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4 |
|c ©2008
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| 300 |
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|a 1 online resource (29 pages) :
|b color illustrations
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 490 |
1 |
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|a IMF working paper ;
|v WP/08/194
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| 588 |
0 |
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|a Print version record.
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| 504 |
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|a Includes bibliographical references (pages 23-24).
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3 |
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|a 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 zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment.
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0 |
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|a 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.
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| 650 |
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|a Default (Finance)
|x Econometric models.
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| 650 |
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|a Options (Finance)
|x Prices
|x Econometric models.
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| 650 |
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7 |
|a Default (Finance)
|x Econometric models
|2 fast
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| 650 |
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7 |
|a Options (Finance)
|x Prices
|x Econometric models
|2 fast
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| 710 |
2 |
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|a International Monetary Fund.
|b Monetary and Capital Markets Department.
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| 758 |
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|i has work:
|a The Option-iPoD (Text)
|1 https://id.oclc.org/worldcat/entity/E39PCGH6WCm9GhJKgmx3kRpC6X
|4 https://id.oclc.org/worldcat/ontology/hasWork
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| 776 |
0 |
8 |
|i Print version:
|a Capuano, Christian, 1975-
|t Option-iPoD.
|d Washington, D.C. : International Monetary Fund, ©2008
|w (OCoLC)316328712
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| 830 |
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0 |
|a IMF working paper ;
|v WP/08/194.
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| 856 |
4 |
0 |
|u https://ebookcentral.proquest.com/lib/holycrosscollege-ebooks/detail.action?docID=1605841
|y Click for online access
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|a EBC-AC
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| 994 |
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|a 92
|b HCD
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