Pricing and Liquidity of Complex and Structured Derivatives

Deviation of a Risk Benchmark Based on Credit and Option Market Data

Business & Finance, Finance & Investing, Corporate Finance, Banks & Banking
Cover of the book Pricing and Liquidity of Complex and Structured Derivatives by Mathias Schmidt, Springer International Publishing
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Author: Mathias Schmidt ISBN: 9783319459707
Publisher: Springer International Publishing Publication: October 31, 2016
Imprint: Springer Language: English
Author: Mathias Schmidt
ISBN: 9783319459707
Publisher: Springer International Publishing
Publication: October 31, 2016
Imprint: Springer
Language: English

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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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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