Pricing and Liquidity of Complex and Structured Derivatives (eBook) von Mathias Schmidt
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Deviation of a Risk Benchmark Based on Credit and Option Market Data
eBook
Sofort lieferbar | Lieferzeit: Sofort lieferbar
ISBN-13:
9783319459707
Veröffentl:
2016
Einband:
eBook
Seiten:
125
Autor:
Mathias Schmidt
Serie:
SpringerBriefs in Finance
eBook Format:
PDF
eBook-Typ:
Reflowable eBook
Kopierschutz:
Digital Watermark [Social-DRM]
Sprache:
Englisch
Inhaltsverzeichnis
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.
Beschreibung
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.
Autor
Mathias Schmidt works for Deloitte Consulting GmbH in Risk Management and Bank Regulation
Schlagwörter zu:
Pricing and Liquidity of Complex and Structured Derivatives von Mathias Schmidt - mit der ISBN: 9783319459707
Derivatives; Financial Products; Investment Banking; Liquidity; Pricing; banking; C; Financial Services; Corporate Finance; Capital Markets; Financial Engineering; Economics and Finance, Online-Buchhandlung
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