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Measuring Option Implied Degree of Distress in the US Financial Sector Using the Entropy Principle

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.

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Abstract

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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Item Type:Article
Date:28 August 2012
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig)
Classification:
NotationType
C14Journal of Economics Literature Classification
C32Journal of Economics Literature Classification
G01Journal of Economics Literature Classification
Keywords:Entropy Principle, Risk Neutral Density, Probability of Default, Financial Stability Indicator, Credit Default Swaps
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Owner: Philipp Matros
Deposited On:29 Aug 2012 06:10
Last Modified:13 Mar 2014 19:09
Item ID:25800
Owner Only: item control page

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