Macroeconomic Implications for Hong Kong SAR of Accommodative U.S. Monetary Policy PDF (Adobe DRM) download by Papa M'B. P. N'Diaye

Macroeconomic Implications for Hong Kong SAR of Accommodative U.S. Monetary Policy

INTERNATIONAL MONETARY FUND
Publication date: July 2004
ISBN: 9781451874020
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We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and leverage, and on the Greek letters (delta, gamma and vega). We show how to extend the framework by using information from the price of a zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment.
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