04356oam 22012134 450 991078823220332120230721045610.01-4623-3460-11-282-84145-91-4518-7052-31-4519-9132-09786612841453(CKB)3170000000055089(SSID)ssj0001484549(PQKBManifestationID)11893153(PQKBTitleCode)TC0001484549(PQKBWorkID)11431312(PQKB)11158735(OCoLC)460638766(MiAaPQ)EBC1605841(IMF)WPIEE2008194(EXLCZ)99317000000005508920020129d2008 uf 0engurcnu||||||||txtccrThe Option-iPoD /Christian CapuanoWashington, D.C. :International Monetary Fund,2008.1 online resource (31 pages) illustrations, tablesIMF Working PapersIMF working paper ;WP/08/194Bibliographic Level Mode of Issuance: Monograph1-4519-1505-5 Includes bibliographical references.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 a zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment.IMF Working Papers; Working Paper ;No. 2008/194Options (Finance)PricesEconometric modelsDefault (Finance)Econometric modelsAccountingimfFinancial Risk ManagementimfInvestments: OptionsimfInvestments: StocksimfMacroeconomicsimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfInternational Financial MarketsimfPrice LevelimfInflationimfDeflationimfPublic AdministrationimfPublic Sector Accounting and AuditsimfFinanceimfInvestment & securitiesimfFinancial reporting, financial statementsimfOptionsimfAsset valuationimfAsset pricesimfStocksimfFinancial statementsimfDerivative securitiesimfAsset-liability managementimfPricesimfFinance, PublicimfUnited StatesimfOptions (Finance)PricesEconometric models.Default (Finance)Econometric models.AccountingFinancial Risk ManagementInvestments: OptionsInvestments: StocksMacroeconomicsPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsInternational Financial MarketsPrice LevelInflationDeflationPublic AdministrationPublic Sector Accounting and AuditsFinanceInvestment & securitiesFinancial reporting, financial statementsOptionsAsset valuationAsset pricesStocksFinancial statementsDerivative securitiesAsset-liability managementPricesFinance, Public332.63228Capuano Christian1472651DcWaIMFBOOK9910788232203321The Option-iPoD3704151UNINA