The Option-iPoD / Christian Capuano.

Format:

Book

Government document

Author/Creator:

Capuano, Christian.

Series:

IMF Working Papers; Working Paper ; No. 2008/194

IMF working paper ; WP/08/194

IMF Working Papers

Language:

English

Subjects (All):

Options (Finance)--Prices--Econometric models.

Options (Finance).

Default (Finance)--Econometric models.

Default (Finance).

Physical Description:

1 online resource (31 pages) : illustrations, tables.

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2008.

Language Note:

English

Summary:

We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and leverage, and on the Greek letters (delta, gamma and vega). We show how to extend the framework by using information from the price of a zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment.

Contents:

Intro

Contents

I. Introduction

II. The Problem

III. Solution

IV. What can Equity Options Say About Default?

V. Empirical Implementation

VI. Results

VII. Listen to Option -iPoD. The Collapse of Bear Stearns

VIII. Caveats

IX. Zero-Coupon Option-iPoD

X. Conclusions

Tables

1. Option Contracts Cycles

2. Citigroup, Strikes, Volume and Weights

3. Citigroup: Summary of Results

4. Citigropu: Leverage-at-Risk

Figures

1. Citigroup, February 12, 2008: Option -iPoD and the Probability Density Function

2. Citigroup: Term-Structure of Option -iPoD on February 12, 2008

3. Citigroup: Expected Balance Sheet Developments on February 12, 2008

4. Moody's KMV Expected Default Frequency in One Year

5. Listen to Option -iPoD. The Collapse of Bear Stearns

6. Bear Stearns, March 14, 2008: Option -iPoD and the Probability Density Function

Appendices

1. Results From The Ten Largest U.S. Financial Institutions

2. Extension with Zero-Coupon Bond

References.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed February 26, 2014).

ISBN:

9786612841453

9781462334605

1462334601

9781282841451

1282841459

9781451870527

1451870523

9781451991321

1451991320

OCLC:

460638766