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| 01850nam 2200325za 4500 |
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| 001 | 9.830344 |
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| 003 | CaOODSP |
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| 005 | 20221107145516 |
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| 007 | cr ||||||||||| |
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| 008 | 170111s2016 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2016-58E-PDF |
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| 100 | 1 |aChang, Bo-Young. |
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| 245 | 10|aEquity option-implied probability of default and equity recovery rate |h[electronic resource] / |cby Bo Young Chang and Greg Orosi. |
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| 260 | |a[Ottawa] : |bBank of Canada, |cc2016. |
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| 300 | |aii, 21 p. : |bill. |
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| 490 | 1 |aStaff Working Paper, |x1701-9397 ; |v2016-58 |
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| 500 | |a"December 2016." |
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| 504 | |aIncludes bibliographical references (p. 14-16). |
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| 520 | 3 |a"There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability. We introduce a simple method to detect stocks with positive expected equity recovery by examining option prices and propose a method to extract the default probability from option prices that allows for positive equity recovery. We demonstrate possible applications of our methodology with examples that include large financial institutions in the United States during the 2007–09 subprime crisis"--Abstract, p. ii. |
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| 546 | |aIncludes abstract in French. |
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| 692 | 07|2gccst|aAssets |
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| 692 | 07|2gccst|aCapital markets |
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| 692 | 07|2gccst|aPricing |
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| 700 | 1 |aOrosi, Greg. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2016-58|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s463 KB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2016-58-eng.pdf |
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