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Omnibus Tests for Comparison of Competing Risks with Covariate Effects via Additive Risk ModelNguyen, Duytrac Vu 03 May 2007 (has links)
It is of interest that researchers study competing risks in which subjects may fail from any one of K causes. Comparing any two competing risks with covariate effects is very important in medical studies. This thesis develops omnibus tests for comparing cause-specific hazard rates and cumulative incidence functions at specified covariate levels. In the thesis, the omnibus tests are derived under the additive risk model, that is an alternative to the proportional hazard model, with by a weighted difference of estimates of cumulative cause-specific hazard rates. Simultaneous confidence bands for the difference of two conditional cumulative incidence functions are also constructed. A simulation procedure is used to sample from the null distribution of the test process in which the graphical and numerical techniques are used to detect the significant difference in the risks. A melanoma data set is used for the purpose of illustration.
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Aplicação de um modelo de intensidade para apreçamento de credit default swaps sobre emissor corporativo no BrasilCandido, Guilherme Amaral 07 February 2018 (has links)
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Previous issue date: 2018-02-07 / Extensa literatura existe acerca de apreçamento de derivativos de crédito, em especial Credit Default Swaps, porém pouco foi discutido sobre o caso peculiar brasileiro, com convenções de taxas de juros e legislação específicas. Este trabalho foca na implementação de um modelo de intensidade, em particular o modelo padrão da ISDA, adaptado à um contrato de CDS no Brasil sobre um emissor corporativo. Spreads de Credit Default Swaps negociados no mercado offshore, yields de bonds e yields de debêntures foram utilizados como insumos para obtenção das taxas implícitas de intensidade de default e backtesting do modelo. Os dados utilizados compreendem o período de 2015 a 2017, englobando momentos de estresse relacionados à crise política brasileira. Algumas aplicações são, então, apresentadas, entre elas hedging, basis trading e estruturação de Credit Linked Notes. / Extensive literature exists on the pricing of credit derivatives, particularly Credit Default Swaps, yet little has been discussed about the distinctive Brazilian case, with specific legislation and interest rate conventions. This work aims to implement an intensity model, in particular the standard ISDA model, adapted to a CDS contract in Brazil on a corporate issuer. Spreads of Credit Default Swaps traded in the offshore market, offshore bond yields and local bond yields were used as inputs for obtaining the implicit hazard rates and for back testing the model. The data used cover the period from 2015 to 2017, including relevant moments of stress related to the Brazilian political crisis. Some applications are then presented, including hedging, basis trading and Credit Linked Notes structuring.
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An investigation into the mechanics and pricing of credit derivativesEraman, Direen 11 1900 (has links)
With the exception of holders of default-free instruments, a key risk run by investors
is credit risk. To meet the need of investors to hedge this risk, the market uses credit
derivatives.
The South African credit derivatives market is still in its infancy and only the very
simplistic instruments are traded. One of the reasons is due to the technical
sophistication required in pricing these instruments. This dissertation introduces the
key concepts of risk neutral probabilities, arbitrage free pricing, martingales, default
probabilities, survival probabilities, hazard rates and forward spreads. These
mathematical concepts are then used as a building block to develop pricing formulae
which can be used to infer valuations to the most popular credit derivatives in the
South African financial markets. / Operations Research / M.Sc. (Operations Research)
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An investigation into the mechanics and pricing of credit derivativesEraman, Direen 11 1900 (has links)
With the exception of holders of default-free instruments, a key risk run by investors
is credit risk. To meet the need of investors to hedge this risk, the market uses credit
derivatives.
The South African credit derivatives market is still in its infancy and only the very
simplistic instruments are traded. One of the reasons is due to the technical
sophistication required in pricing these instruments. This dissertation introduces the
key concepts of risk neutral probabilities, arbitrage free pricing, martingales, default
probabilities, survival probabilities, hazard rates and forward spreads. These
mathematical concepts are then used as a building block to develop pricing formulae
which can be used to infer valuations to the most popular credit derivatives in the
South African financial markets. / Operations Research / M.Sc. (Operations Research)
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