Prices of Credit Default Swaps and the Term Structure of Credit Risk

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 th...

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Bibliographic Details
Main Author: Desrosiers, Mary Elizabeth
Other Authors: Domokos Vermes, Advisor
Format: Others
Published: Digital WPI 2007
Subjects:
Online Access:https://digitalcommons.wpi.edu/etd-theses/600
https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1599&context=etd-theses