Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-050107-220449

Document Typemasters report
Author NameDesrosiers, Mary Elizabeth
TitlePrices of Credit Default Swaps and the Term Structure of Credit Risk
DepartmentMathematical Sciences
  • Domokos Vermes, Advisor
  • Keywords
  • credit risk
  • credit default swaps
  • Date of Presentation/Defense2007-05-01
    Availability unrestricted


    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.

  • CDS-Default_Probability.pdf

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