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

• Main Author: Schmidt, Mathias (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Series: SpringerBriefs in Finance,
• Subjects: Finance.; Business enterprises > Finance.; Banks and banking.; Capital market.; Financial engineering.; Banking.; Business Finance.; Financial Engineering.; Capital Markets.

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...

Table 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.