Bewertung von Kreditprodukten und Credit Default Swaps

Thomas Heidorn

No 36, Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management

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.

Date: 2001
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fsfmwp:36

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