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

ISBN-13: 9783319459691 / Angielski / Miękka / 2016 / 114 str.

Mathias Schmidt

Opis

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.

Spis treści

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.

O autorze

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