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Updating the Option Implied Probability of Default Methodology

Vilsmeier, Johannes (2011) Updating the Option Implied Probability of Default Methodology. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft Working Paper.

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Abstract

In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is reasoned that the originally proposed approach for the estimation of the PoD has some serious ...

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Item Type:Monograph (Working Paper)
Date:12 October 2011
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig)
Identification Number:
ValueType
RePEc:bay:rdwiwi:22326RePEc Handle
Keywords:Option Implied Probability of Default, Risk Neutral Density, Cross Entropy
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:No this document will not be refereed
Created at the University of Regensburg:Yes
Owner: Johannes Vilsmeier
Deposited On:13 Oct 2011 07:32
Last Modified:07 Apr 2014 08:56
Item ID:22326
Owner Only: item control page
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