Search Results - subject:"Conditional Probability of Default"

The multivariate option iPoD framework: assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2014

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

Persistent link: https://www.econbiz.de/10010409363

The multivariate option iPoD framework: assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - Deutsche Bundesbank - 2014

Persistent link: https://www.econbiz.de/10010957132

The multivariate option iPoD framework : assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2014

Persistent link: https://www.econbiz.de/10010405480

The multivariate option iPoD framework: Assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2013

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

Persistent link: https://www.econbiz.de/10010378295

The Multivariate Option iPoD Framework - Assessing Systemic Financial Risk

Matros, Philipp; Vilsmeier, Johannes - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2013

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...

Persistent link: https://www.econbiz.de/10010904385

Take it to the limit: Innovative CVaR applications to extreme credit risk measurement

Allen, David E.; Powell, R. J.; Singh, Abhay Kumar - In: European journal of operational research : EJOR 249 (2016) 2, pp. 465-475

Persistent link: https://www.econbiz.de/10011436713

The multivariate option iPoD framework : assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2013

Persistent link: https://www.econbiz.de/10010193341

Peas in a pod: Canadian and Australian banks before and during a Global Financial Crisis

Allen, David E; Boffey, R.R; Powell, R. J. - School of Business, Edith Cowan University - 2011

conditional probability of default which measures extreme credit risk. This paper finds that bank risk was significantly similar …

Persistent link: https://www.econbiz.de/10011158975