Cargando…
The Option-iPoD : the probability of default implied by option prices based on entropy /
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,...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
©2008.
©2008 |
| Colección: | IMF working paper ;
WP/08/194. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
| LEADER | 00000cam a2200000 a 4500 | ||
|---|---|---|---|
| 001 | EBOOKCENTRAL_ocn460638766 | ||
| 003 | OCoLC | ||
| 005 | 20240329122006.0 | ||
| 006 | m o d | ||
| 007 | cr cnu|||||||| | ||
| 008 | 091028s2008 dcua ob 000 0 eng d | ||
| 040 | |a CUS |b eng |e pn |c CUS |d OCLCQ |d OCLCA |d EBLCP |d E7B |d CCO |d OCLCF |d OTZ |d OCLCQ |d YDXCP |d DEBSZ |d OCLCQ |d CUS |d COCUF |d MERUC |d ZCU |d U3W |d STF |d OCLCQ |d CEF |d NRAMU |d CRU |d ICG |d VTS |d OCLCQ |d VT2 |d OCLCQ |d WYU |d TKN |d DKC |d OCLCQ |d TUHNV |d OCLCO |d OCLCQ |d OCLCO |d OCLCQ |d OCLCO |d OCLCL | ||
| 019 | |a 875238678 |a 961637274 |a 962617020 |a 1055381909 |a 1066613851 | ||
| 020 | |a 1451915055 | ||
| 020 | |a 9781451915051 | ||
| 020 | |a 9781451991321 | ||
| 020 | |a 1451991320 | ||
| 020 | |a 9781451870527 | ||
| 020 | |a 1451870523 | ||
| 024 | 8 | |a 10.5089/9781451915051.001 | |
| 029 | 1 | |a AU@ |b 000053336944 | |
| 029 | 1 | |a DEBBG |b BV044066336 | |
| 029 | 1 | |a DEBSZ |b 446049883 | |
| 029 | 1 | |a NZ1 |b 15491532 | |
| 035 | |a (OCoLC)460638766 |z (OCoLC)875238678 |z (OCoLC)961637274 |z (OCoLC)962617020 |z (OCoLC)1055381909 |z (OCoLC)1066613851 | ||
| 037 | |b 00013468 | ||
| 050 | 4 | |a HG3810 | |
| 082 | 0 | 4 | |a 332.63228 |2 23 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Capuano, Christian, |d 1975- |e author. |1 https://id.oclc.org/worldcat/entity/E39PCjF4fYdyVDYdwb8bV9bJH3 | |
| 245 | 1 | 4 | |a The Option-iPoD : |b the probability of default implied by option prices based on entropy / |c prepared by Christian Capuano. |
| 260 | |a Washington, D.C. : |b International Monetary Fund, |c ©2008. | ||
| 264 | 4 | |c ©2008 | |
| 300 | |a 1 online resource (29 pages) : |b color illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/08/194 | |
| 588 | 0 | |a Print version record. | |
| 504 | |a Includes bibliographical references (pages 23-24). | ||
| 520 | 3 | |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. | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Default (Finance) |x Econometric models. | |
| 650 | 0 | |a Options (Finance) |x Prices |x Econometric models. | |
| 650 | 6 | |a Défaillance (Finances) |x Modèles économétriques. | |
| 650 | 6 | |a Options (Finances) |x Prix |x Modèles économétriques. | |
| 650 | 7 | |a Default (Finance) |x Econometric models |2 fast | |
| 650 | 7 | |a Options (Finance) |x Prices |x Econometric models |2 fast | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department. | |
| 758 | |i has work: |a The Option-iPoD (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGH6WCm9GhJKgmx3kRpC6X |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Capuano, Christian, 1975- |t Option-iPoD. |d Washington, D.C. : International Monetary Fund, ©2008 |w (OCoLC)316328712 |
| 830 | 0 | |a IMF working paper ; |v WP/08/194. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1605841 |z Texto completo |
| 938 | |a EBL - Ebook Library |b EBLB |n EBL1605841 | ||
| 938 | |a ebrary |b EBRY |n ebr10368753 | ||
| 938 | |a YBP Library Services |b YANK |n 11618036 | ||
| 938 | |a YBP Library Services |b YANK |n 12385195 | ||
| 994 | |a 92 |b IZTAP | ||