Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-011312-121903


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Author NameLan, Yi
URNetd-011312-121903
TitleSurvival Probability and Intensity Derived from Credit Default Swaps
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Marcel Blais, Advisor
  • Keywords
  • survival probability
  • Credit Default Swaps
  • Date of Presentation/Defense2012-01-13
    Availability unrestricted

    Abstract

    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.

    Files
  • lan.pdf

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