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Pricing and Liquidity of Complex and Structured Derivatives

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

  • Book
  • © 2016

Overview

Authors:
  1. Mathias Schmidt

    1. Hamburg, Germany

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Part of the book series: SpringerBriefs in Finance (BRIEFSFINANCE)

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Table of contents (5 chapters)

  1. Front Matter

    Pages i-xvii
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  2. Introduction

    • Mathias Schmidt
    Pages 1-7

  3. Different Approaches on CDS Valuation—An Empirical Study

    • Mathias Schmidt
    Pages 9-37

  4. Credit Default Swaps from an Equity Option View

    • Mathias Schmidt
    Pages 39-67

  5. Strike of Default: Sensitivity and Times Series Analysis

    • Mathias Schmidt
    Pages 69-91

  6. Conclusion

    • Mathias Schmidt
    Pages 93-95

  7. Back Matter

    Pages 97-114
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Keywords

About this book

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.

Authors and Affiliations

  • Hamburg, Germany

    Mathias Schmidt

About the author

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

Bibliographic Information

  • Book Title: Pricing and Liquidity of Complex and Structured Derivatives

  • Book Subtitle: Deviation of a Risk Benchmark Based on Credit and Option Market Data

  • Authors: Mathias Schmidt

  • Series Title: SpringerBriefs in Finance

  • DOI: https://doi.org/10.1007/978-3-319-45970-7

  • Publisher: Springer Cham

  • eBook Packages: Economics and Finance, Economics and Finance (R0)

  • Copyright Information: The Author(s) 2016

  • Softcover ISBN: 978-3-319-45969-1Published: 30 September 2016

  • eBook ISBN: 978-3-319-45970-7Published: 31 October 2016

  • Series ISSN: 2193-1720

  • Series E-ISSN: 2193-1739

  • Edition Number: 1

  • Number of Pages: XVII, 114

  • Number of Illustrations: 16 b/w illustrations, 16 illustrations in colour

  • Topics: Banking, Business Finance, Financial Engineering, Capital Markets

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