• News

    [in German only] Kapitalmaßnahme Novo Banco Update

    [in German only] Für den XAIA Credit Basis und den XAIA Credit Basis II wurde mittlerweile Klage im Rahmen einer Klagegruppe eingereicht. Die Klage vor einem ordentlichen Gericht in Portugal richtet sich gegen die portugiesische Zentralbank (BoP).

  • Equity Derivatives

    Put = CDS + X

    Long credit exposure in some company may be hedged either by buying CDS protection that triggers when a credit event with respect to the company is determined, or alternatively by buying put options on the company’s stock price process – at least when it is justified that the stock price drops to zero upon the arrival of a credit event. Under this assumption, it is explained how the cost for put protection may be decomposed into two parts: (1) the cost for CDS protection (pure default protection) and (2) a remaining part that accounts for potential gains due to equity volatility (pure gamma). The proposed measurements are model-free, efficient to compute, and can help to get a feeling for how much default and gamma risk is priced into a specific put option.