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The Option-iPoD

The Option-iPoD »

Source: The Option-iPoD

Volume/Issue: 2008/194

Series: IMF Working Papers

Author(s): Christian Capuano

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2008

ISBN: 9781451870527

Keywords: endogenous default barrier, cross-entropy, option contracts, volatility smile, probability, probability density function, probability density, bond, bonds,

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...

Optimal Maturity Structure of Sovereign Debt in Situation of Near Default

Optimal Maturity Structure of Sovereign Debt in Situation of Near Default »

Source: Optimal Maturity Structure of Sovereign Debt in Situation of Near Default

Volume/Issue: 2014/168

Series: IMF Working Papers

Author(s): Gabriel Desgranges , and Celine Rochon

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 September 2014

ISBN: 9781498379779

Keywords: Long Term Debt, Maturity Structure, Optimal Default, Sovereign Debt Crisis, Uncertainty, debt portfolio, debt burden, sovereign debt, hedging, financial institutions

We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fisca...

The Option-iPoD

The Option-iPoD »

Volume/Issue: 2008/194

Series: IMF Working Papers

Author(s): Christian Capuano

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2008

DOI: http://dx.doi.org/10.5089/9781451870527.001

ISBN: 9781451870527

Keywords: endogenous default barrier, cross-entropy, option contracts, volatility smile, probability, probability density function, probability density, bond, bonds,

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...

Optimal Maturity Structure of Sovereign Debt in Situation of Near Default

Optimal Maturity Structure of Sovereign Debt in Situation of Near Default »

Volume/Issue: 2014/168

Series: IMF Working Papers

Author(s): Gabriel Desgranges , and Celine Rochon

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 September 2014

DOI: http://dx.doi.org/10.5089/9781498379779.001

ISBN: 9781498379779

Keywords: Long Term Debt, Maturity Structure, Optimal Default, Sovereign Debt Crisis, Uncertainty, debt portfolio, debt burden, sovereign debt, hedging, financial institutions

We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fisca...