Matros, Philipp and Vilsmeier, Johannes (2012) Measuring Option Implied Degree of Distress in the US Financial Sector Using the Entropy Principle. Deutsche Bundesbank Discussion Paper 30/2012.
We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The obtained time series are evaluated with regard to their consistency and predictive power and their properties are compared to ...
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|Date:||28 August 2012|
|Institutions:||Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig)|
|Keywords:||Entropy Principle, Risk Neutral Density, Probability of Default, Financial Stability Indicator, Credit Default Swaps|
|Dewey Decimal Classification:||300 Social sciences > 330 Economics|
|Refereed:||Yes, this version has been refereed|
|Created at the University of Regensburg:||Partially|
|Deposited On:||29 Aug 2012 06:10|
|Last Modified:||13 Mar 2014 19:09|