Etd
Prices of Credit Default Swaps and the Term Structure of Credit Risk
PublicThe objective of this project is to investigate and model the quantitative connection between market prices of credit default swaps and the market perceived probability and timing of default by the underlying borrower. We quantify the credit risk of a borrower in a two-way relationship: calculate the term structure of default probabilities from the market prices of traded CDSs and calculate prices of CDSs from the probability distribution of the time-to-default.
- Creator
- Contributeurs
- Degree
- Unit
- Publisher
- Language
- English
- Identifier
- etd-050107-220449
- Mot-clé
- Advisor
- Defense date
- Year
- 2007
- Date created
- 2007-05-01
- Resource type
- Rights statement
Relations
- Dans Collection:
Contenu
Articles
La vignette | Titre | Visibilité | Embargo Release Date | actes |
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|
CDS-Default_Probability.pdf | Public | Télécharger |
Permanent link to this page: https://digital.wpi.edu/show/n870zq92t