Default Correlations within Credit Valuation
(2016) FMS820 20161Mathematical Statistics
- Abstract
- This paper focuses on pricing of basket Credit Default Swaps. The credit market instruments
such as CDSs and CDOs are introduced. The concepts of trading these
derivatives in basket CDSs divided into tranches is also of big importance. Dierent
pricing models are presented and compared. Those are Semi-Analytic Valuation model
with a Copula approach used together with the methods compound and base correlation
Also two contagion models are presented, one pure contagion and one contagion
Copula mixture model. They are compared to each other to see how the prices dier
for dierent tranches and premium payments. It is impossible to say which model
prices right, but the main conclusion is that the prices dier. The models need to be
... (More) - This paper focuses on pricing of basket Credit Default Swaps. The credit market instruments
such as CDSs and CDOs are introduced. The concepts of trading these
derivatives in basket CDSs divided into tranches is also of big importance. Dierent
pricing models are presented and compared. Those are Semi-Analytic Valuation model
with a Copula approach used together with the methods compound and base correlation
Also two contagion models are presented, one pure contagion and one contagion
Copula mixture model. They are compared to each other to see how the prices dier
for dierent tranches and premium payments. It is impossible to say which model
prices right, but the main conclusion is that the prices dier. The models need to be
further investigated in order to decide which one is the best for which purpose. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8884279
- author
- Svensson, Sofie
- supervisor
- organization
- course
- FMS820 20161
- year
- 2016
- type
- H2 - Master's Degree (Two Years)
- subject
- language
- English
- id
- 8884279
- date added to LUP
- 2016-06-22 08:06:56
- date last changed
- 2016-06-22 08:06:56
@misc{8884279, abstract = {{This paper focuses on pricing of basket Credit Default Swaps. The credit market instruments such as CDSs and CDOs are introduced. The concepts of trading these derivatives in basket CDSs divided into tranches is also of big importance. Dierent pricing models are presented and compared. Those are Semi-Analytic Valuation model with a Copula approach used together with the methods compound and base correlation Also two contagion models are presented, one pure contagion and one contagion Copula mixture model. They are compared to each other to see how the prices dier for dierent tranches and premium payments. It is impossible to say which model prices right, but the main conclusion is that the prices dier. The models need to be further investigated in order to decide which one is the best for which purpose.}}, author = {{Svensson, Sofie}}, language = {{eng}}, note = {{Student Paper}}, title = {{Default Correlations within Credit Valuation}}, year = {{2016}}, }