01564cas a2200241 a 4500 AALejournalIMF005254 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451870527 1018-5941 BD-DhAAL BD-DhAAL Capuano, Christian. The Option-iPoD / Christian Capuano. Washington, D.C. : International Monetary Fund, 2008. 1 online resource (29 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and leverage, and on the Greek letters (delta, gamma and vega). We show how to extend the framework by using information from the price of a zero-coupon bond and CDS-spreads. In the episode of the collapse of Bear Stearns, option-iPoD was able to early signal market sentiment. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2008/194 Full text available on IMF http://elibrary.imf.org/view/journals/001/2008/194/001.2008.issue-194-en.xml IMF e-Library