Pricing and Liquidity of Complex and Structured Derivatives / SpringerBriefs in Finance (PDF)
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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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.
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, 114 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3319459708
- ISBN-13: 9783319459707
- Erscheinungsdatum: 31.10.2016
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Dateiformat: PDF
- Größe: 2.10 MB
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- Vorlesefunktion
Sprache:
Englisch
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