Calibration of a credit default swap pricing model

This dissertation describes, implements and tests a numerical methodology to calibrate a reduced-form Credit Default Swap (CDS) pricing model to market spreads. For the intensity rate function, we independently test a set of six different functional forms. We also assume a constant recovery rate of...

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Bibliographic Details
Main Author: Moura, João Diogo Barros (author)
Format: masterThesis
Language:eng
Published: 2017
Subjects:
Credit risk
Credit default swap
Reduced-form model
Default probabilities
Finanças
Swaps
Risco de crédito
Crise financeira
Mercado financeiro
Modelos de precisão
Online Access:http://hdl.handle.net/10071/14112
Country:Portugal
Oai:oai:repositorio.iscte-iul.pt:10071/14112

Internet

http://hdl.handle.net/10071/14112

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