Return to search

Survival Probability and Intensity Derived from Credit Default Swaps

This project discusses the intensity and survival probability derived from Credit Default Swaps (CDS). We utilize two models, the reduced intensity model and the Shift Square Root Diffusion (SSRD) model. In the reduced intensity model, we assume a deterministic intensity and implement a computer simulation to derive the survival probability and intensity from the CDS market quotes of the company. In the SSRD model, the interest rate and intensity are both stochastic and correlated. We discuss the impaction of correlation on the interest rate and intensity. We also conduct a Monte Carlo simulation to determine the dynamics of stochastic interest rate and intensity.

Identiferoai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1081
Date13 January 2012
CreatorsLan, Yi
ContributorsMarcel Y. Blais, Advisor, ,
PublisherDigital WPI
Source SetsWorcester Polytechnic Institute
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceMasters Theses (All Theses, All Years)

Page generated in 0.0019 seconds