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The Option-iPoD : the probability of default implied by option prices based on entropy / / Christian Capuano
| The Option-iPoD : the probability of default implied by option prices based on entropy / / Christian Capuano |
| Autore | Capuano Christian |
| Pubbl/distr/stampa | [Washington, District of Columbia] : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (31 pages) : illustrations, tables |
| Disciplina | 332.63228 |
| Collana | IMF working paper |
| Soggetto topico |
Options (Finance) - Prices - Econometric models
Default (Finance) - Econometric models |
| Soggetto genere / forma | Electronic books. |
| 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 | eng |
| Record Nr. | UNINA-9910463634503321 |
Capuano Christian
|
||
| [Washington, District of Columbia] : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Option-iPoD / / Christian Capuano
| The Option-iPoD / / Christian Capuano |
| Autore | Capuano Christian |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (31 pages) : illustrations, tables |
| Disciplina | 332.63228 |
| Collana |
IMF Working Papers
IMF working paper |
| 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 |
| 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 | eng |
| Record Nr. | UNINA-9910788232203321 |
|
Capuano Christian
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Option-iPoD / / Christian Capuano
| The Option-iPoD / / Christian Capuano |
| Autore | Capuano Christian |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (31 pages) : illustrations, tables |
| Disciplina | 332.63228 |
| Collana |
IMF Working Papers
IMF working paper |
| 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 |
| 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 | eng |
| 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. |
| Record Nr. | UNINA-9910827082903321 |
|
Capuano Christian
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
