05614oam 22013214 450 991097075380332120250426110559.0978661284145397814623346051462334601978128284145112828414599781451870527145187052397814519913211451991320(CKB)3170000000055089(SSID)ssj0001484549(PQKBManifestationID)11893153(PQKBTitleCode)TC0001484549(PQKBWorkID)11431312(PQKB)11158735(OCoLC)460638766(MiAaPQ)EBC1605841(IMF)WPIEE2008194(IMF)WPIEA2008194WPIEA2008194(EXLCZ)99317000000005508920020129d2008 uf 0engurcnu||||||||txtccrThe Option-iPoD /Christian Capuano1st ed.Washington, D.C. :International Monetary Fund,2008.1 online resource (31 pages) illustrations, tablesIMF Working PapersIMF working paper ;WP/08/194Bibliographic Level Mode of Issuance: Monograph9781451915051 1451915055 Includes bibliographical references.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.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 modelsAccountingimfAsset pricesimfAsset valuationimfAsset-liability managementimfDeflationimfDerivative securitiesimfFinanceimfFinance, PublicimfFinancial InstrumentsimfFinancial reporting, financial statementsimfFinancial Risk ManagementimfFinancial statementsimfInflationimfInstitutional InvestorsimfInternational Financial MarketsimfInvestment & securitiesimfInvestments: OptionsimfInvestments: StocksimfMacroeconomicsimfNon-bank Financial InstitutionsimfOptionsimfPension FundsimfPrice LevelimfPricesimfPublic AdministrationimfPublic Sector Accounting and AuditsimfStocksimfUnited StatesimfOptions (Finance)PricesEconometric models.Default (Finance)Econometric models.AccountingAsset pricesAsset valuationAsset-liability managementDeflationDerivative securitiesFinanceFinance, PublicFinancial InstrumentsFinancial reporting, financial statementsFinancial Risk ManagementFinancial statementsInflationInstitutional InvestorsInternational Financial MarketsInvestment & securitiesInvestments: OptionsInvestments: StocksMacroeconomicsNon-bank Financial InstitutionsOptionsPension FundsPrice LevelPricesPublic AdministrationPublic Sector Accounting and AuditsStocks332.63228Capuano Christian1816424DcWaIMFBOOK9910970753803321The Option-iPoD4372575UNINA