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Bewertung von Kreditprodukten und Credit Default Swaps

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  • 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
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    File URL: https://www.econstor.eu/bitstream/10419/27802/1/347515215.PDF
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    References listed on IDEAS

    as
    1. Cremers, Heinz & Schwarz, Willi, 1996. "Interpolation of discount factors," Frankfurt School - Working Paper Series 2, Frankfurt School of Finance and Management.
    2. 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.
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    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. Overbeck, Ludger & Schmidt, Wolfgang M., 2003. "Modeling default dependence with threshold models," Frankfurt School - Working Paper Series 41, 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. Polleit, Thorsten, 2004. "The slowdown in German bank lending - revisited," Frankfurt School - Working Paper Series 53, Frankfurt School of Finance and Management.
    6. 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.
    7. 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.
    8. 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.
    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.

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