Título :	Pricing and Liquidity of Complex and Structured Derivatives : Deviation of a Risk Benchmark Based on Credit and Option Market Data
Tipo de documento:	documento electrónico
Autores:	Schmidt, Mathias ; SpringerLink (Online service)
Editorial:	Cham : Springer International Publishing
Fecha de publicación:	2016
Otro editor:	Imprint: Springer
Colección:	SpringerBriefs in Finance, ISSN 2193-1720
Número de páginas:	XVII, 114 p. 32 illus., 16 illus. in color
Il.:	online resource
ISBN/ISSN/DL:	978-3-319-45970-7
Idioma :	Inglés (eng)
Palabras clave:	Finance  Business  enterprises  Banks  and  banking  Capital  market  Financial  engineering  Banking  Engineering  Markets
Clasificación:	330 Economía en general
Resumen:	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
Nota de contenido:	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
En línea:	http://dx.doi.org/10.1007/978-3-319-45970-7
Link:	https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=41718

Pricing and Liquidity of Complex and Structured Derivatives : Deviation of a Risk Benchmark Based on Credit and Option Market Data [documento electrónico] / Schmidt, Mathias ; SpringerLink (Online service) . - Cham : Springer International Publishing : Imprint: Springer, 2016 . - XVII, 114 p. 32 illus., 16 illus. in color : online resource. - (SpringerBriefs in Finance, ISSN 2193-1720) .
ISBN : 978-3-319-45970-7
Idioma : Inglés (eng)

Palabras clave:	Finance  Business  enterprises  Banks  and  banking  Capital  market  Financial  engineering  Banking  Engineering  Markets
Clasificación:	330 Economía en general
Resumen:	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
Nota de contenido:	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
En línea:	http://dx.doi.org/10.1007/978-3-319-45970-7
Link:	https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=41718