Pricing and Liquidity of Complex and Structured Derivatives
Deviation of a Risk Benchmark Based on Credit and Option Market Data
(Sprache: Englisch)
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...
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Klappentext zu „Pricing and Liquidity of Complex and Structured Derivatives “
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.
Inhaltsverzeichnis zu „Pricing and Liquidity of Complex and Structured Derivatives “
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.
Autoren-Porträt von Mathias Schmidt
Mathias Schmidt works for Deloitte Consulting GmbH in Risk Management and Bank Regulation
Bibliographische Angaben
- Autor: Mathias Schmidt
- 2016, 1st ed. 2016, XVII, 114 Seiten, 16 farbige Abbildungen, Maße: 15,4 x 23,6 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3319459694
- ISBN-13: 9783319459691
- Erscheinungsdatum: 19.10.2016
Sprache:
Englisch
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