Johannes Vilsmeier

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

D-60431 Frankfurt/Main

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

104

CITATIONS

1

Scholarly Papers (4)

The Determinants of CDS Spreads: Evidence from the Model Space

Review of Derivatives Research, Forthcoming
Number of pages: 70 Posted: 02 Jul 2016 Last Revised: 13 Jun 2017
Matthias Pelster and Johannes Vilsmeier
Leuphana University Lueneburg and Deutsche Bundesbank
Downloads 41 (359,226)

Abstract:

CDS, Bayesian model averaging, crash aversion, tail risk, tail dependence

The Determinants of CDS Spreads: Evidence from the Model Space

Bundesbank Discussion Paper No. 43/2016
Number of pages: 63 Posted: 14 Dec 2016
Matthias Pelster and Johannes Vilsmeier
Leuphana University Lueneburg and Deutsche Bundesbank
Downloads 34 (385,723)

Abstract:

CDS, bayesian model averaging, crash aversion, tail risk, tail dependence, time-varying copulas

Updating the Option Implied Probability of Default Methodology

Bundesbank Discussion Paper No. 43/2014
Number of pages: 39 Posted: 21 Jun 2016
Johannes Vilsmeier
Deutsche Bundesbank
Downloads 20 (456,237)
Citation 1

Abstract:

Option Implied Probability of Default, Risk Neutral Density, Cross Entropy

Updating the Option Implied Probability of Default Methodology

Journal of Computational Finance, Vol. 19, No. 3, 2016
Number of pages: 28 Posted: 14 Jun 2016
Johannes Vilsmeier
Deutsche Bundesbank
Downloads 0
Citation 1

Abstract:

probability of default, risk neutral density, options, cross entropy, financial risk, credit risk

3.

Measuring Option Implied Degree of Distress in the Us Financial Sector Using the Entropy Principle

Bundesbank Discussion Paper No. 30/2012
Number of pages: 68 Posted: 21 Jun 2016
Philipp Matros and Johannes Vilsmeier
University of Regensburg and Deutsche Bundesbank
Downloads 0 (515,791)

Abstract:

Entropy Principle, Risk Neutral Density, Probability of Default, Financial Stability Indicator, Credit Default Swaps

4.

The Multivariate Option Ipod Framework: Assessing Systemic Financial Risk

Bundesbank Discussion Paper No. 20/2014
Number of pages: 51 Posted: 21 Jun 2016
Philipp Matros and Johannes Vilsmeier
affiliation not provided to SSRN and Deutsche Bundesbank
Downloads 0 (520,068)

Abstract:

Financial Distress, Conditional Probability of Default, Copulas, Option Prices, Entropy Principle