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Prices of Credit Default Swaps and the Term Structure of Credit Risk

The 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.

Identiferoai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1599
Date01 May 2007
CreatorsDesrosiers, Mary Elizabeth
ContributorsDomokos Vermes, Advisor, ,
PublisherDigital WPI
Source SetsWorcester Polytechnic Institute
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceMasters Theses (All Theses, All Years)

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