Purpose – To propose a new methodology to infer the risk‐neutral default probability curve of a generic firm XYZ from equity options prices. Design/methodology/approach – It is assumed that the market is arbitrage‐free and the “market” probability measure implied in the equity...

Purpose – To implement the model described in the companion paper, “Pricing credit risk through equity options calibration, part 1 – theory,” and show how to calculate the price of a set of coupon bonds issued by a US telecommunications and media company, AOL Time Warner, based on the...

Purpose – Investors often rely on probabilistic models that were learned from small historical labeled datasets. The purpose of this article is to propose a new method for data‐efficient model learning. Design/methodology/approach – The proposed method, which is an extension of the...

Purpose – The paper aims to present a framework for modeling defaultable securities and credit derivatives which allows for dependence between market risk factors and credit risk. Design/methodology/approach – The default event is modeled using the Cox process when the stochastic intensity...

Purpose – Investors often rely on probabilistic models that were learned from small historical labeled datasets. The purpose of this article is to propose a new method for data-efficient model learning. Design/methodology/approach – The proposed method, which is an extension of the standard...

Purpose – To propose a new methodology to infer the risk-neutral default probability curve of a generic firm XYZ from equity options prices. Design/methodology/approach – It is assumed that the market is arbitrage-free and the “market” probability measure implied in the equity options...

Purpose – To implement the model described in the companion paper, “Pricing credit risk through equity options calibration, part 1 – theory,” and show how to calculate the price of a set of coupon bonds issued by a US telecommunications and media company, AOL Time Warner, based on the...