The Option-iPoD / / Christian Capuano

• Autore: Capuano Christian
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2008
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (31 pages) : illustrations, tables
• Disciplina: 332.63228
• Soggetto topico: Options (Finance) - Prices - Econometric models; Default (Finance) - Econometric models; Accounting; Financial Risk Management; Investments: Options; Investments: Stocks; Macroeconomics; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; International Financial Markets; Price Level; Inflation; Deflation; Public Administration; Public Sector Accounting and Audits; Finance; Investment & securities; Financial reporting, financial statements; Options; Asset valuation; Asset prices; Stocks; Financial statements; Derivative securities; Asset-liability management; Prices; Finance, Public
• Soggetto geografico: United States
• Note generali: Bibliographic Level Mode of Issuance: Monograph
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: 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.
• Sommario/riassunto: 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.
• Titolo autorizzato: The Option-iPoD
• ISBN: 1-4623-3460-1; 1-282-84145-9; 1-4518-7052-3; 1-4519-9132-0; 9786612841453
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910827082903321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2008/194