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• W2145508732 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 Credit Default Swap Spreads (CDS). Moreover, we also derive an indicator for the systemic risk in the US financial sector. We find that the PoDs are superior to CDS in identifying the high risk banks prior to the Lehman crisis." @default.
• W2145508732 created "2016-06-24" @default.
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• W2145508732 date "2012-01-01" @default.
• W2145508732 modified "2023-09-24" @default.
• W2145508732 title "Measuring Option Implied Degree of Distress in the Us Financial Sector Using the Entropy Principle" @default.
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• W2145508732 doi "https://doi.org/10.2139/ssrn.2796890" @default.
• W2145508732 hasPublicationYear "2012" @default.
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