CDS, Bayesian model averaging, crash aversion, tail risk, tail dependence
CDS, bayesian model averaging, crash aversion, tail risk, tail dependence, time-varying copulas
Option Implied Probability of Default, Risk Neutral Density, Cross Entropy
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2794899.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
probability of default, risk neutral density, options, cross entropy, financial risk, credit risk
Financial Distress, Conditional Probability of Default, Copulas, Option Prices, Entropy Principle
Entropy Principle, Risk Neutral Density, Probability of Default, Financial Stability Indicator, Credit Default Swaps
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.191 seconds