Pricing and Liquidity of Complex and Structured Derivatives
Deviation of a Risk Benchmark Based on Credit and Option Market Data
Published on 30. September 2016
Book
Paperback/Softback
XVII, 114 pages
978-3-319-45969-1 (ISBN)
Description
This book introduces the "strike of default" (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both markets to get a time-depending share price, at which the markets believe the underlying will default. By means of credit default swaps (CDS) and option pricing methods, the SOD is determined for any exchange-listed company, where option and CDS market data are available.
More details
Series
Edition
1st ed. 2016
Language
English
Place of publication
Cham
Switzerland
Publishing group
Springer International Publishing
Target group
Professional and scholarly
Illustrations
16 s/w Abbildungen, 16 farbige Abbildungen
XVII, 114 p. 32 illus., 16 illus. in color.
Dimensions
Height: 23.5 cm
Width: 15.5 cm
Weight
2117 gr
ISBN-13
978-3-319-45969-1 (9783319459691)
DOI
10.1007/978-3-319-45970-7
Schweitzer Classification
Other editions
Additional editions
Mathias Schmidt
Pricing and Liquidity of Complex and Structured Derivatives
Deviation of a Risk Benchmark Based on Credit and Option Market Data
E-Book
10/2016
Springer
€53.49
Available for download
Person
Mathias Schmidt works for Deloitte Consulting GmbH in Risk Management and Bank Regulation
Content
Introduction.- Different Approaches on CDS Valuation - an Empirical Study.- Credit Default Swaps from an Equity Option View.- Strike of Default: Sensitivity and Times Series Analysis.- Conclusion.