Title page for ETD etd-050107-220449

Document Type	masters report
Author Name	Desrosiers, Mary Elizabeth
URN	etd-050107-220449
Title	Prices of Credit Default Swaps and the Term Structure of Credit Risk
Degree	MS
Department	Mathematical Sciences
Advisors	Domokos Vermes, Advisor
Keywords	credit risk credit default swaps
Date of Presentation/Defense	2007-05-01
Availability	unrestricted
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.
Files	CDS-Default_Probability.pdf

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