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

URN to cite this document:
urn:nbn:de:bvb:355-epub-258006
Matros, Philipp ; Vilsmeier, Johannes
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Date of publication of this fulltext: 29 Aug 2012 06:10


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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