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.

Creator

• Desrosiers, Mary Elizabeth

Contributors

• Vermes, Domokos

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-050107-220449

Keyword

• Credit Default Swaps
• Credit Risk

Advisor

• Vermes, Domokos

Defense date

• 2007-05-01

Year

• 2007

Date created

• 2007-05-01

Resource type

• Report

Rights statement

• In Copyright