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A Framework for Extracting the Probability of Default from Stock Option Prices
"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 default. We adopt a two-stage calibration algorithm to obtain the precise estimator of PD. In the calibration procedure, we improve the fitness of the option pricing model via the implementation of the time inhomogeneous term structure model in the option pricing model. Since the term structure model perfectly fits the actual term structure, we resolve the estimation bias caused by the poor fitness of the time homogeneous term structure model. It is demonstrated that the PD estimator from listed stock options can provide meaningful insights on the pricing of credit derivatives like credit default swap."--Prelim.
Credit Risk Contagion and the Global Financial Crisis
"This paper investigates how the market valuation of credit risk changed during 2008-2009 via a separation of the probability of default (PD) and the loss given default (LGD) of credit default swaps (CDSs), using the information implied by equity options. While the Lehman Brothers collapse in September 2008 harmed the stability of the financial systems in major industrialized countries, the CDS spreads of some major UK banks did not increase in response to this turmoil in financial markets including the decline in their own stock prices. This implies that the CDS spreads of financial institutions may not reflect all their credit risk due to the government interventions. Since CDS spreads are...
Expressive Japanese
Feelings play an enormous part in our lives, but their expression is often neglected in foreign language education. How do I communicate happiness, surprise, or anger? How do others communicate these emotions to me? Such questions become increasingly relevant as we become more competent in the language we are learning. Expressive Japanese is the first detailed guide to emotion words and expressive strategies for students of the language. Words connoting feelings, such as "kanashii" (sad), are important in everyday Japanese conversation, but communicating emotions effectively also requires the use of expressive strategies, such as "Nani?" (What the heck?), "Yattaa!" (I did it!), or "Hottoite!...
Dictionary of Minor Planet Names
The quantity of numbered minor planets has now well exceeded a quarter million. The new sixth edition of the Dictionary of Minor Planet Names, which is the IAU’s official reference work for the field, now covers more than 17,000 named minor planets. In addition to being of practical value for identification purposes, the Dictionary of Minor Planet Names provides authoritative information on the basis of the rich and colorful variety of ingenious names, from heavenly goddesses to artists, from scientists to Nobel laureates, from historical or political figures to ordinary women and men, from mountains to buildings, as well as a variety of compound terms and curiosities. This sixth edition of the Dictionary of Minor Planet Names has grown by more than 7,000 entries compared to the fifth edition and by more than 2,000 compared to the fifth edition, including its two addenda published in 2006 and 2009. In addition, there are many corrections, revisions and updates to the entries published in earlier editions. This work is an abundant source of information for anyone interested in minor planets and who enjoys reading about the people and things minor planets commemorate.
Japan Directory
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