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Financial strength ratings (FSRs) have become more significant particularly since the recent financial crisis of 2007-09 where rating agencies failed to forecast defaults and the downgrade of some banks. The aim of this paper is to predict Capital Intelligence banks' financial strength ratings...
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We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given by a convex combination of call and put option prices over the range of available strike prices. We demonstrate that this new method significantly improves the accuracy of...
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