Tag Archives: Default

Paper: Información sobre default: Precio de las opciones

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Post Type Gaston Besanson
qfcpapers

A Framework for Extracting the Probability of Default  from Stock Option Prices Abstract This paper develops a framework to estimate the probability of default (PD)  implied in listed stock options. The underlying option pricing model measures PD  as the intensity of a jump diffusion process, in which the underlying stock price jumps to zero at...+

Paper: Default y oportunidades perdidas

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Default and Lost Opportunities: A Message from Argentina for Euro-Zone Countries Persistent euro-zone turmoil has kept the world economy on edge. Doubts about the ability of many countries in the single-currency region to service their sovereign debt are rising along with the interest rates the affected nations must pay to roll over maturing obligations. Link al...+

Paper: Relación Bono-CDS, Crisis Europea

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The Link between Eurozone Sovereign  Debt and CDS Prices Abstract We perform a theoretical and empirical analysis of the relationship between the price of Eurozone sovereign-linked credit default swaps (CDS) and the same sovereign bond markets during the Eurozone debt crisis of 2009-2011. We first present a simple model which establishes the no-arbitrage relationship between...+

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