Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data
Author:   Mathias Schmidt
Publisher:   Springer International Publishing AG
Edition:   1st ed. 2016
ISBN:  

9783319459691


Pages:   114
Publication Date:   30 September 2016
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data


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Overview

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.

Full Product Details

Author:   Mathias Schmidt
Publisher:   Springer International Publishing AG
Imprint:   Springer International Publishing AG
Edition:   1st ed. 2016
Dimensions:   Width: 15.50cm , Height: 0.70cm , Length: 23.50cm
Weight:   2.117kg
ISBN:  

9783319459691


ISBN 10:   3319459694
Pages:   114
Publication Date:   30 September 2016
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

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.

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Author Information

Mathias Schmidt works for Deloitte Consulting GmbH in Risk Management and Bank Regulation

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