TY - THES A1 - Lan, Yi A2 - Blais, Marcel Y. AB - This project discusses the intensity and survival probability derived from Credit Default Swaps (CDS). We utilize two models, the reduced intensity model and the Shift Square Root Diffusion (SSRD) model. In the reduced intensity model, we assume a deterministic intensity and implement a computer simulation to derive the survival probability and intensity from the CDS market quotes of the company. In the SSRD model, the interest rate and intensity are both stochastic and correlated. We discuss the impaction of correlation on the interest rate and intensity. We also conduct a Monte Carlo simulation to determine the dynamics of stochastic interest rate and intensity. DA - 2012/01/13 DB - Digital WPI DP - Worcester Polytechnic Institute ID - etd-011312-121903 KW - Credit Default Swaps KW - survival probability L1 - https://digital.wpi.edu/show/q811kj71q LA - English LK - https://digital.wpi.edu/ PB - Worcester Polytechnic Institute PY - 2012 T1 - Survival Probability and Intensity Derived from Credit Default Swaps UR - https://digital.wpi.edu/show/6108vb410 ER -