Updating the option implied probability of default methodology
Johannes Vilsmeier (Deutsche Bundesbank)
| Year of publication: |
March 2016
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|---|---|
| Authors: | Vilsmeier, Johannes |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2016, 3, p. 1-27
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| Subject: | probability of default | risk neutral density | options | cross entropy | financial risk | credit risk | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Entropie | Entropy | Statistische Verteilung | Statistical distribution | Insolvenz | Insolvency | Risikomaß | Risk measure | Aktienoption | Stock option | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk | Bankinsolvenz | Bank failure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011563457