Faculty Advisor or Committee Member

Domokos Vermes, Advisor

Identifier

etd-050107-220449

Abstract

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.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2007-05-01

Accessibility

Unrestricted

Subjects

credit risk, credit default swaps, Securities, Risk assessment, Credit derivatives

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