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the proprietary bank-to-bank European interbank dataset extracted from Target2 and also exploit the Lehman and sovereign …
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We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The obtained time series are...
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