Johannes Vilsmeier - Central Bank Research Hub

Papers by year: All | 2016 | 2014 | 2012

Title Other author(s)

The determinants of CDS spreads: evidence from the model space

Deutsche Bundesbank Discussion Papers [View] (Paper: 43/2016, 14.11.2016)

JEL: C11, G01, G12

Updating the option implied probability of default methodology

Deutsche Bundesbank Discussion Papers [View] (Paper: 43/2014, 31.12.2014)

JEL: C51, C52, C61, G12, G24, G31

The multivariate option iPoD framework - assessing systemic financial risk

Deutsche Bundesbank Discussion Papers [View] (Paper: 20/2014, 28.08.2014)

JEL: C14, C32, G01, G21

Measuring option implied degree of distress in the US financial sector using the entropy principle

Deutsche Bundesbank Discussion Papers [View] (Paper: 30/2012, 26.11.2012)

Papers by year: All | 2016 | 2014 | 2012