IDEAS home Printed from https://ideas.repec.org/p/zbw/fsfmwp/36.html
   My bibliography  Save this paper

Bewertung von Kreditprodukten und Credit Default Swaps

Author

Listed:
  • Heidorn, Thomas

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.

Suggested Citation

  • Heidorn, Thomas, 2001. "Bewertung von Kreditprodukten und Credit Default Swaps," Frankfurt School - Working Paper Series 36, Frankfurt School of Finance and Management.
    • Handle: RePEc:zbw:fsfmwp:36
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/27802/1/347515215.PDF
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. 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.
    2. Cremers, Heinz & Schwarz, Willi, 1996. "Interpolation of discount factors," Frankfurt School - Working Paper Series 2, Frankfurt School of Finance and Management.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Inklaar, Robert & Koetter, Michael & Noth, Felix, 2012. "Who's afraid of big bad banks? Bank competition, SME, and industry growth," Frankfurt School - Working Paper Series 197, Frankfurt School of Finance and Management.
    2. Dietmar Harhoff & Elisabeth Mueller & John Van Reenen, 2014. "What are the Channels for Technology Sourcing? Panel Data Evidence from German Companies," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 23(1), pages 204-224, March.
    3. Alexander Libman & Vladimir Kozlov & André Schultz, 2012. "Roving Bandits in Action: Outside Option and Governmental Predation in Autocracies," Kyklos, Wiley Blackwell, vol. 65(4), pages 526-562, November.
    4. Overbeck, Ludger & Schmidt, Wolfgang M., 2003. "Modeling default dependence with threshold models," Frankfurt School - Working Paper Series 41, Frankfurt School of Finance and Management.
    5. Boeing, Philipp & Mueller, Elisabeth & Sandner, Philipp, 2012. "What makes Chinese firms productive? Learning from indigenous and foreign sources of knowledge," Frankfurt School - Working Paper Series 196, Frankfurt School of Finance and Management.
    6. Polleit, Thorsten, 2004. "The slowdown in German bank lending - revisited," Frankfurt School - Working Paper Series 53, Frankfurt School of Finance and Management.
    7. 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.
    8. Kostka, Genia & Moslener, Ulf & Andreas, Jan G., 2011. "Barriers to energy efficiency improvement: Empirical evidence from small-and-medium sized enterprises in China," Frankfurt School - Working Paper Series 178, Frankfurt School of Finance and Management.
    9. Yu, Xiaofan, 2011. "A spatial interpretation of the persistency of China's provincial inequality," Frankfurt School - Working Paper Series 171, Frankfurt School of Finance and Management.
    10. Böing, Philipp & Müller, Elisabeth, 2012. "Technological Capabilities of Chinese Enterprises: Who is Going to Compete Abroad?," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62081, Verein für Socialpolitik / German Economic Association.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Heidorn, Thomas, 1999. "Kreditderivate," Frankfurt School - Working Paper Series 13, Frankfurt School of Finance and Management.
    2. Strohhecker, Jürgen & Sokolovsky, Zbynek, 2001. "Fit für den Euro: simulationsbasierte Euro-Maßnahmenplanung für Dresdner-Bank-Geschäftsstellen," Frankfurt School - Working Paper Series 32, Frankfurt School of Finance and Management.
    3. Heidorn, Thomas & Klein, Hans-Dieter & Siebrecht, Frank, 2000. "Economic value added zur Prognose der Performance europäischer Aktien," Frankfurt School - Working Paper Series 27, Frankfurt School of Finance and Management.
    4. Boeing, Philipp & Mueller, Elisabeth & Sandner, Philipp, 2012. "What makes Chinese firms productive? Learning from indigenous and foreign sources of knowledge," Frankfurt School - Working Paper Series 196, Frankfurt School of Finance and Management.
    5. Heidorn, Thomas & Schmidt, Peter & Seiler, Stefan, 2000. "Neue Möglichkeiten durch die Namensaktie," Frankfurt School - Working Paper Series 23, Frankfurt School of Finance and Management.
    6. Böing, Philipp & Müller, Elisabeth, 2012. "Technological Capabilities of Chinese Enterprises: Who is Going to Compete Abroad?," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62081, Verein für Socialpolitik / German Economic Association.
    7. Moormann, Jürgen, 1999. "Terminologie und Glossar der Bankinformatik," Frankfurt School - Working Paper Series 11, Frankfurt School of Finance and Management.
    8. Inklaar, Robert & Koetter, Michael & Noth, Felix, 2012. "Who's afraid of big bad banks? Bank competition, SME, and industry growth," Frankfurt School - Working Paper Series 197, Frankfurt School of Finance and Management.
    9. Becker, Gernot M. & Seeger, Norbert, 2003. "Internationale Cash Flow-Rechnungen aus Eigner- und Gläubigersicht," Frankfurt School - Working Paper Series 48, Frankfurt School of Finance and Management.
    10. Heidorn, Thomas & Kantwill, Jens, 2002. "Eine empirische Analyse der Spreadunterschiede von Festsatzanleihen zu Floatern im Euroraum und deren Zusammenhang zum Preis eines Credit Default Swaps," Frankfurt School - Working Paper Series 39, Frankfurt School of Finance and Management.
    11. Yu, Xiaofan, 2011. "A spatial interpretation of the persistency of China's provincial inequality," Frankfurt School - Working Paper Series 171, Frankfurt School of Finance and Management.
    12. Cremers, Heinz, 1999. "Value at Risk-Konzepte für Marktrisiken," Frankfurt School - Working Paper Series 17, Frankfurt School of Finance and Management.
    13. Biswas, Rita & Löchel, Horst, 2001. "Recent trends in U.S. and German banking: convergence or divergence?," Frankfurt School - Working Paper Series 29, Frankfurt School of Finance and Management.
    14. Cremers, Heinz, 1999. "Einführung in die Optionspreisbestimmung," Frankfurt School - Working Paper Series 18, Frankfurt School of Finance and Management.
    15. Löchel, Horst, 1998. "The EMU and the theory of optimum currency areas," Frankfurt School - Working Paper Series 10, Frankfurt School of Finance and Management.
    16. Chevalier, Pierre & Heidorn, Thomas & Rütze, Merle, 1999. "Gründung einer deutschen Strombörse für Elektrizitätsderivate," Frankfurt School - Working Paper Series 16, Frankfurt School of Finance and Management.
    17. Kostka, Genia & Moslener, Ulf & Andreas, Jan G., 2011. "Barriers to energy efficiency improvement: Empirical evidence from small-and-medium sized enterprises in China," Frankfurt School - Working Paper Series 178, Frankfurt School of Finance and Management.
    18. Heidorn, Thomas & Gerhold, Mirko, 2004. "Investitionen und Emissionen von Convertible Bonds (Wandelanleihen)," Frankfurt School - Working Paper Series 50, Frankfurt School of Finance and Management.
    19. Heidorn, Thomas, 1999. "Kreditrisiko (CreditMetrics)," Frankfurt School - Working Paper Series 12, Frankfurt School of Finance and Management.
    20. Heidorn, Thomas, 2000. "Entscheidungsorientierte Mindestmargenkalkulation," Frankfurt School - Working Paper Series 21, Frankfurt School of Finance and Management.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:fsfmwp:36. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/hfbfide.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.