Pricing and Liquidity of Complex and Structured Derivatives

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

Autori

• Mathias Schmidt

Parametri

• 114 pagine
• 4 ore di lettura

• Economia e affari

Maggiori informazioni sul libro

The book presents the innovative "strike of default" (SOD) benchmark, integrating insights from both the credit and option markets to assess the implied probability of default for exchange-listed companies. By leveraging data from credit default swaps (CDS) and option pricing methods, the author establishes a time-dependent share price indicative of market expectations regarding defaults. This approach offers a novel framework for analyzing market perceptions of risk associated with various underlying assets.

Lingua: Inglese

Pubblicato: 2016

(In brossura)