LEADER 05415oam 22012374 450 001 9910827082903321 005 20240402044616.0 010 $a1-4623-3460-1 010 $a1-282-84145-9 010 $a1-4518-7052-3 010 $a1-4519-9132-0 010 $a9786612841453 035 $a(CKB)3170000000055089 035 $a(SSID)ssj0001484549 035 $a(PQKBManifestationID)11893153 035 $a(PQKBTitleCode)TC0001484549 035 $a(PQKBWorkID)11431312 035 $a(PQKB)11158735 035 $a(OCoLC)460638766 035 $a(MiAaPQ)EBC1605841 035 $a(IMF)WPIEE2008194 035 $a(EXLCZ)993170000000055089 100 $a20020129d2008 uf 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe Option-iPoD /$fChristian Capuano 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 215 $a1 online resource (31 pages) $cillustrations, tables 225 1 $aIMF Working Papers 225 0$aIMF working paper ;$vWP/08/194 300 $aBibliographic Level Mode of Issuance: Monograph 311 $a1-4519-1505-5 320 $aIncludes bibliographical references. 327 $aIntro -- 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. 330 3 $aWe present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and leverage, and on the Greek letters (delta, gamma and vega). We show how to extend the framework by using information from the price of a zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2008/194 606 $aOptions (Finance)$xPrices$xEconometric models 606 $aDefault (Finance)$xEconometric models 606 $aAccounting$2imf 606 $aFinancial Risk Management$2imf 606 $aInvestments: Options$2imf 606 $aInvestments: Stocks$2imf 606 $aMacroeconomics$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aInternational Financial Markets$2imf 606 $aPrice Level$2imf 606 $aInflation$2imf 606 $aDeflation$2imf 606 $aPublic Administration$2imf 606 $aPublic Sector Accounting and Audits$2imf 606 $aFinance$2imf 606 $aInvestment & securities$2imf 606 $aFinancial reporting, financial statements$2imf 606 $aOptions$2imf 606 $aAsset valuation$2imf 606 $aAsset prices$2imf 606 $aStocks$2imf 606 $aFinancial statements$2imf 606 $aDerivative securities$2imf 606 $aAsset-liability management$2imf 606 $aPrices$2imf 606 $aFinance, Public$2imf 607 $aUnited States$2imf 615 0$aOptions (Finance)$xPrices$xEconometric models. 615 0$aDefault (Finance)$xEconometric models. 615 7$aAccounting 615 7$aFinancial Risk Management 615 7$aInvestments: Options 615 7$aInvestments: Stocks 615 7$aMacroeconomics 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aInternational Financial Markets 615 7$aPrice Level 615 7$aInflation 615 7$aDeflation 615 7$aPublic Administration 615 7$aPublic Sector Accounting and Audits 615 7$aFinance 615 7$aInvestment & securities 615 7$aFinancial reporting, financial statements 615 7$aOptions 615 7$aAsset valuation 615 7$aAsset prices 615 7$aStocks 615 7$aFinancial statements 615 7$aDerivative securities 615 7$aAsset-liability management 615 7$aPrices 615 7$aFinance, Public 676 $a332.63228 700 $aCapuano$b Christian$01654473 801 0$bDcWaIMF 906 $aBOOK 912 $a9910827082903321 996 $aThe Option-iPoD$94006325 997 $aUNINA