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We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...
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We derive multivariate risk neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...
Persistent link: https://www.econbiz.de/10010193341
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for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no … information from inflation options can often produce more accurate inflation forecasts than those based on the Survey of … Professional Forecasters. Second, incorporating oil futures tends to improve short-term inflation and longer-term nominal yield …
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