Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data (SpringerBriefs in Finance) - Softcover

Book 18 of 30: SpringerBriefs in Finance

Schmidt, Mathias

 
9783319459691: Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data (SpringerBriefs in Finance)
Softcover
ISBN 10: 3319459694 ISBN 13: 9783319459691
Publisher: Springer, 2016

Synopsis

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.

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About the Author

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

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Publisher
Springer
Publication date
2016
Language
English
ISBN 10 
3319459694
ISBN 13 
9783319459691
Binding
Paperback
Edition number
1
Number of pages
131

Other Popular Editions of the Same Title

9783319459714: Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data

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ISBN 10:  3319459716 ISBN 13:  9783319459714
Publisher: Springer, 2016
Softcover