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Record Nr. |
UNINA9910148789103321 |
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Autore |
Schmidt Mathias |
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Titolo |
Pricing and Liquidity of Complex and Structured Derivatives : Deviation of a Risk Benchmark Based on Credit and Option Market Data / / by Mathias Schmidt |
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Pubbl/distr/stampa |
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Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
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ISBN |
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Edizione |
[1st ed. 2016.] |
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Descrizione fisica |
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1 online resource (XVII, 114 p. 32 illus., 16 illus. in color.) |
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Collana |
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SpringerBriefs in Finance, , 2193-1720 |
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Disciplina |
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Soggetti |
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Banks and banking |
Business enterprises—Finance |
Financial engineering |
Capital market |
Banking |
Business Finance |
Financial Engineering |
Capital Markets |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Nota di bibliografia |
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Includes bibliographical references at the end of each chapters. |
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Nota di contenuto |
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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. |
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Sommario/riassunto |
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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. |
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