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,...

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 ob- tained time series are...

We derive multivariate risk neutral asset distributions for major US nancial institutions (FIs) using option implied marginal risk neutral asset distributions (RNDs) and probabili- ties of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...