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OverviewThis 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. Full Product DetailsAuthor: Mathias SchmidtPublisher: Springer International Publishing AG Imprint: Springer International Publishing AG Edition: 1st ed. 2016 Dimensions: Width: 15.50cm , Height: 0.70cm , Length: 23.50cm Weight: 2.117kg ISBN: 9783319459691ISBN 10: 3319459694 Pages: 114 Publication Date: 30 September 2016 Audience: Professional and scholarly , Professional & Vocational Format: Paperback Publisher's Status: Active Availability: Manufactured on demand  We will order this item for you from a manufactured on demand supplier. Table of ContentsIntroduction.- 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.ReviewsAuthor InformationMathias Schmidt works for Deloitte Consulting GmbH in Risk Management and Bank Regulation Tab Content 6Author Website:Countries AvailableAll regions |
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