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Pricing and Liquidity of Complex and Structured Derivatives by Mathias Schmidt
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Pricing and Liquidity of Complex and Structured Derivatives

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

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.

Author Biography:

Mathias Schmidt works for Deloitte Consulting GmbH in Risk Management and Bank Regulation
Release date Australia
September 30th, 2016
Audience
  • Professional & Vocational
Edition
1st ed. 2016
Illustrations
16 Illustrations, color; 16 Illustrations, black and white; XVII, 114 p. 32 illus., 16 illus. in color.
Pages
114
Dimensions
155x235x7
ISBN-13
9783319459691
Product ID
25678256

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