In this dissertation, we examine current models used to value default-risky bonds. These models include both the structural and the reduced-form approaches. We begin by examining various issues involved in modelling credit risk and pricing credit derivatives. We then explore the various dimensions of structural models and reduced-form models and we provide an overview of four models presented in the literature on credit risk modelling. Both the theoretical and empirical research on default-risky bond valuation is summarized. Finally, we make suggestions for improving on the credit risk models discussed. / Dissertation (MSc (Mathematics of Finance))--University of Pretoria, 2006. / Mathematics and Applied Mathematics / unrestricted
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:up/oai:repository.up.ac.za:2263/26531 |
| Date | 22 July 2005 |
| Creators | Magwegwe, Frank Mashoko |
| Contributors | Prof B Swart, upetd@ais.up.ac.za |
| Source Sets | South African National ETD Portal |
| Detected Language | English |
| Type | Dissertation |
| Rights | © 2003, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
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