Pricing and Liquidity of Complex and Structured Derivatives

Deviation of a Risk Benchmark Based on Credit and Option Market Data

Mathias Schmidt (Autor)

Buch | Softcover

XVII, 114 Seiten

2016 | 1st ed. 2016
Springer International Publishing (Verlag)
978-3-319-45969-1 (ISBN)

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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.

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

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.

Erscheinungsdatum	19.10.2016
Reihe/Serie	SpringerBriefs in Finance
Zusatzinfo	XVII, 114 p. 32 illus., 16 illus. in color.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
Themenwelt	Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
Schlagworte	Banking • business finance • Capital Markets • Corporate Finance • Derivatives • Economics and finance • Finance • Financial Engineering • Financial products • Investment banking • liquidity • Pricing
ISBN-10	3-319-45969-4 / 3319459694
ISBN-13	978-3-319-45969-1 / 9783319459691
Zustand	Neuware