Matros, Philipp; Vilsmeier, Johannes - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2013
We derive multivariate risk neutral asset distributions for major US nancial institutions (FIs) using option implied marginal risk neutral asset distributions (RNDs) and probabili- ties of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...