<p>Credit derivatives are very popular on financial markets in recent days.</p><p>The most liquid credit derivative is a credit default swap (CDS). In</p><p>this research we investigate methods for modeling and monitoring of the</p><p>price process of CDS. We study Hull and White model to calculate CDS</p><p>spread and have data for our analysis. We consider different methods for</p><p>monitoring of the price process of CDS. In particular we study CUSUM</p><p>method. And we calculate more commonly used perfomance measures</p><p>for this method.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:hh-2208 |
| Date | January 2008 |
| Creators | Loshkina, Anna, Malysheva, Elena |
| Publisher | Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
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