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

Authors: Mathias Schmidt



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.

Table of contents

Front Matter

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

Back Matter

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