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

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.

List of contents

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.

Summary

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.

Product details

• Authors: Mathias Schmidt, Matthias Schmidt
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.2016
• EAN: 9783319459691
• ISBN: 978-3-31-945969-1
• No. of pages: 114
• Dimensions: 156 mm x 237 mm x 5 mm
• Weight: 213 g
• Illustrations: XVII, 114 p. 32 illus., 16 illus. in color.
• Series: SpringerBriefs in Finance; SpringerBriefs in Finance
• Subjects: Social sciences, law, business > Business > Individual industrial sectors, branches; C, Finance, Banking, Corporate Finance, Financial Services, Economics and Finance, capital market, capital markets, Business Finance, Financial Engineering, Business enterprises—Finance, Banks and banking