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.
Worcester Polytechnic Institute
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Desrosiers, Mary Elizabeth, "Prices of Credit Default Swaps and the Term Structure of Credit Risk" (2007). Masters Theses (All Theses, All Years). 600.
credit risk, credit default swaps, Securities, Risk assessment, Credit derivatives