Add to ORKGCredit derivatives are very popular on financial markets in recent days. The most liquid credit derivative is a credit default swap (CDS). In this research we investigate methods for modeling and monitoring of the price process of CDS. We study Hull and White model to calculate CDS spread and have data for our analysis. We consider different methods for monitoring of the price process of CDS. In particular we study CUSUM method. And we calculate more commonly used perfomance measures for this method
This paper analyses the behaviour of credit default swaps (CDS) for a sample of firms and finds supp...
This master thesis starts by providing insightful insides about credit default swaps (CDS), their be...
The Credit Default Swap (CDS) market is a rapidly growing market in which participants such as banks...
Credit derivatives are very popular on financial markets in recent days. The most liquid credit deri...
The objective of this project is to investigate the credit spread of credit default swaps by using a...
This paper focuses on pricing of basket Credit Default Swaps. The credit market instruments such as ...
This article presents, estimates and tests a credit default swap (CDS) pricing model, which links a ...
Credit derivatives are instruments that transfer the credit risk from one party to another one. The ...
This thesis gives an introduction to BASEL II and hence a motivation for the use of credit derivativ...
This thesis focuses on the impact of counterparty-risk in CDS (Credit Default Swap) pricing. The exp...
This paper presents, estimates and tests reduced form credit default swap (CDS) pricing models where...
This study examines the background and nature of the credit default index swaption (CDIS) and presen...
We show how to price credit default options and swaps based on a four-factor defaultable term-struct...
The paper considers the pricing of credit default swaps (CDSs) using a revised version of the credit...
Summary I propose a framework to separate the probability of default (PD) and loss given default (LG...
This paper analyses the behaviour of credit default swaps (CDS) for a sample of firms and finds supp...
This master thesis starts by providing insightful insides about credit default swaps (CDS), their be...
The Credit Default Swap (CDS) market is a rapidly growing market in which participants such as banks...
Credit derivatives are very popular on financial markets in recent days. The most liquid credit deri...
The objective of this project is to investigate the credit spread of credit default swaps by using a...
This paper focuses on pricing of basket Credit Default Swaps. The credit market instruments such as ...
This article presents, estimates and tests a credit default swap (CDS) pricing model, which links a ...
Credit derivatives are instruments that transfer the credit risk from one party to another one. The ...
This thesis gives an introduction to BASEL II and hence a motivation for the use of credit derivativ...
This thesis focuses on the impact of counterparty-risk in CDS (Credit Default Swap) pricing. The exp...
This paper presents, estimates and tests reduced form credit default swap (CDS) pricing models where...
This study examines the background and nature of the credit default index swaption (CDIS) and presen...
We show how to price credit default options and swaps based on a four-factor defaultable term-struct...
The paper considers the pricing of credit default swaps (CDSs) using a revised version of the credit...
Summary I propose a framework to separate the probability of default (PD) and loss given default (LG...
This paper analyses the behaviour of credit default swaps (CDS) for a sample of firms and finds supp...
This master thesis starts by providing insightful insides about credit default swaps (CDS), their be...
The Credit Default Swap (CDS) market is a rapidly growing market in which participants such as banks...