Document Type masters report Author Name Lan, Yi URN etd-011312-121903 Title Survival Probability and Intensity Derived from Credit Default Swaps Degree MS Department Mathematical Sciences Advisors Marcel Blais, Advisor Keywords survival probability Credit Default Swaps Date of Presentation/Defense 2012-01-13 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.
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