[PDF.84ts] Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data (SpringerBriefs in Finance)

Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data (SpringerBriefs in Finance)

[PDF.qy90] Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data (SpringerBriefs in Finance)

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 |  2016-10-31 |  2016-10-31 | File type: PDF

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||About the Author|Mathias Schmidt works for Deloitte Consulting GmbH in Risk Management and Bank Regulation

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 meth...

You can specify the type of files you want, for your gadget.Pricing and Liquidity of Complex and Structured Derivatives: Deviation of a Risk Benchmark Based on Credit and Option Market Data (SpringerBriefs in Finance)   |  Mathias Schmidt. Just read it with an open mind because none of us really know.

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