Bewertung von Kreditprodukten und Credit Default Swaps
Abstract
The Paper shows the evaluation of credit risky products. Default probabilities for brisk adjusted cash flows or risk adjusted discounting are the backbones for the evaluation of bonds and credits. The second approach is using the market value of shares and their implied volatility to calculate the asset value of the firm and the indirect probability of default. The last part gives the arbitrage arguments for pricing credit default swaps. --Download Info
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Paper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 36.Length:
Date of creation: 2001
Date of revision:
Handle: RePEc:zbw:fsfmwp:36
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References listed on IDEASPlease report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ecker, Thomas & Moormann, Jürgen, 1997. "Die Bank als Betreiberin einer elektronischen Shopping-Mall," Frankfurt School - Working Paper Series 4, Frankfurt School of Finance and Management.
- Cremers, Heinz & Schwarz, Willi, 1996. "Interpolation of discount factors," Frankfurt School - Working Paper Series 2, Frankfurt School of Finance and Management.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Overbeck, Ludger & Schmidt, Wolfgang M., 2003. "Modeling default dependence with threshold models," Frankfurt School - Working Paper Series 41, Frankfurt School of Finance and Management.
- Polleit, Thorsten, 2004. "The slowdown in German bank lending - revisited," Frankfurt School - Working Paper Series 53, Frankfurt School of Finance and Management.
- Boenkost, Wolfram & Schmidt, Wolfgang M., 2003. "Notes on convexity and quanto adjustments for interest rates and related options," Frankfurt School - Working Paper Series 47, Frankfurt School of Finance and Management.
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