Arbeitspapier
Updating the option implied probability of default methodology
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 produces arbitrary results and hence an alternative procedure is suggested that is based on the Lagrange multipliers. Based on numerical evaluations and an illustrative empirical application we conclude that the framework provides very promising results.
- ISBN
-
978-3-95729-107-3
- Sprache
-
Englisch
- Erschienen in
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Series: Bundesbank Discussion Paper ; No. 43/2014
- Klassifikation
-
Wirtschaft
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Optimization Techniques; Programming Models; Dynamic Analysis
Asset Pricing; Trading Volume; Bond Interest Rates
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
Option Implied Probability of Default
Risk Neutral Density
Cross Entropy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Vilsmeier, Johannes
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Vilsmeier, Johannes
- Deutsche Bundesbank
Entstanden
- 2014
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