Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/73420 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
BGPE Discussion Paper No. 123
Verlag: 
Friedrich-Alexander-Universität Erlangen-Nürnberg, Bavarian Graduate Program in Economics (BGPE), Nürnberg
Zusammenfassung: 
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 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 nancial sector. We find that the PoDs are superior to CDS in identifying the high risk banks prior to the Lehman crisis.
Schlagwörter: 
Entropy Principle
Risk Neutral Density
Probability of Default
Financial Stability Indicator
Credit Default Swaps
JEL: 
C14
C32
G01
G21
Dokumentart: 
Working Paper

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