國立虎尾科技大學 |

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

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Pricing and Liquidity of Complex and Structured Derivatives/ by Mathias Schmidt.
Reminder of title:	Deviation of a Risk Benchmark Based on Credit and Option Market Data /
Author:	Schmidt, Mathias.
Description:	XVII, 114 p. 32 illus., 16 illus. in color.online resource. :
Contained By:	Springer Nature eBook
Subject:	Banks and banking. -
Online resource:	https://doi.org/10.1007/978-3-319-45970-7
ISBN:	9783319459707

Pricing and Liquidity of Complex and Structured Derivatives = Deviation of a Risk Benchmark Based on Credit and Option Market Data /
Schmidt, Mathias.

Pricing and Liquidity of Complex and Structured DerivativesDeviation of a Risk Benchmark Based on Credit and Option Market Data /[electronic resource] :by Mathias Schmidt. - 1st ed. 2016. - XVII, 114 p. 32 illus., 16 illus. in color.online resource. - SpringerBriefs in Finance,2193-1720. - SpringerBriefs in Finance,.

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.

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.

ISBN: 9783319459707

Standard No.: 10.1007/978-3-319-45970-7doiSubjects--Topical Terms:

556379
Banks and banking.

LC Class. No.: HG1501-3550

Dewey Class. No.: 332.1

Pricing and Liquidity of Complex and Structured Derivatives = Deviation of a Risk Benchmark Based on Credit and Option Market Data /
LDR:02210nam a22003975i 4500 001 978427
003 DE-He213
005 20200706143517.0
007 cr nn 008mamaa
008 201211s2016 gw | s |||| 0|eng d
020 $a 9783319459707 $9 978-3-319-45970-7
024 7 $a 10.1007/978-3-319-45970-7 $2 doi
035 $a 978-3-319-45970-7
050 4 $a HG1501-3550
072 7 $a KFFK $2 bicssc
072 7 $a BUS004000 $2 bisacsh
072 7 $a KFFK $2 thema
082 0 4 $a 332.1 $2 23
100 1 $a Schmidt, Mathias. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1271879
245 1 0 $a Pricing and Liquidity of Complex and Structured Derivatives $h [electronic resource] : $b Deviation of a Risk Benchmark Based on Credit and Option Market Data / $c by Mathias Schmidt.
250 $a 1st ed. 2016.
264 1 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2016.
300 $a XVII, 114 p. 32 illus., 16 illus. in color. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
490 1 $a SpringerBriefs in Finance, $x 2193-1720
505 0 $a 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.
520 $a 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.
650 0 $a Banks and banking. $3 556379
650 0 $a Business enterprises—Finance. $3 1253877
650 0 $a Financial engineering. $3 591542
650 0 $a Capital market. $3 556702
650 1 4 $a Banking. $2 bicssc $3 810653
650 2 4 $a Business Finance. $3 1069042
650 2 4 $a Financial Engineering. $3 1107684
650 2 4 $a Capital Markets. $3 1106532
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9783319459691
776 0 8 $i Printed edition: $z 9783319459714
830 0 $a SpringerBriefs in Finance, $x 2193-1720 $3 1262812
856 4 0 $u https://doi.org/10.1007/978-3-319-45970-7
912 $a ZDB-2-ECF
912 $a ZDB-2-SXEF
950 $a Economics and Finance (SpringerNature-41170)
950 $a Economics and Finance (R0) (SpringerNature-43720)