The Option-iPoD /
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,...
| Autore principale: | |
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| Natura: | Periodico |
| Lingua: | English |
| Pubblicazione: |
Washington, D.C. :
International Monetary Fund,
2008.
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| Serie: | IMF Working Papers; Working Paper ;
No. 2008/194 |
| Accesso online: | Full text available on IMF |