Applications of actuarial techniques to credit default swap pricing
The objective of this project is to investigate the credit spread of credit default swaps by using actuarial techniques. The group quantifies the CDS spread by firstly calculating the default rates of selected bonds using actuarial means of calculating mortality rates of bonds. The default rates wer...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2012
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| Online Access: | http://hdl.handle.net/10356/48124 |
| _version_ | 1826110938618527744 |
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| author | Lim, Zheng Xian Chew, Wee Jia S Theven Subramaniam |
| author2 | Shinichi Kamiya |
| author_facet | Shinichi Kamiya Lim, Zheng Xian Chew, Wee Jia S Theven Subramaniam |
| author_sort | Lim, Zheng Xian |
| collection | NTU |
| description | The objective of this project is to investigate the credit spread of credit default swaps by using actuarial techniques. The group quantifies the CDS spread by firstly calculating the default rates of selected bonds using actuarial means of calculating mortality rates of bonds. The default rates were then smoothed before inputting into a pricing model to calculate the CDS spread of a Credit Default Swap Index (Markit CDX). This spread is then compared to the current Markit CDX spread. |
| first_indexed | 2024-10-01T02:42:23Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/48124 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T02:42:23Z |
| publishDate | 2012 |
| record_format | dspace |
| spelling | ntu-10356/481242023-05-19T07:23:07Z Applications of actuarial techniques to credit default swap pricing Lim, Zheng Xian Chew, Wee Jia S Theven Subramaniam Shinichi Kamiya Nanyang Business School DRNTU::Business::Finance::Actuarial science The objective of this project is to investigate the credit spread of credit default swaps by using actuarial techniques. The group quantifies the CDS spread by firstly calculating the default rates of selected bonds using actuarial means of calculating mortality rates of bonds. The default rates were then smoothed before inputting into a pricing model to calculate the CDS spread of a Credit Default Swap Index (Markit CDX). This spread is then compared to the current Markit CDX spread. BUSINESS 2012-03-16T06:39:45Z 2012-03-16T06:39:45Z 2012 2012 Final Year Project (FYP) http://hdl.handle.net/10356/48124 en Nanyang Technological University 53 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Actuarial science Lim, Zheng Xian Chew, Wee Jia S Theven Subramaniam Applications of actuarial techniques to credit default swap pricing |
| title | Applications of actuarial techniques to credit default swap pricing |
| title_full | Applications of actuarial techniques to credit default swap pricing |
| title_fullStr | Applications of actuarial techniques to credit default swap pricing |
| title_full_unstemmed | Applications of actuarial techniques to credit default swap pricing |
| title_short | Applications of actuarial techniques to credit default swap pricing |
| title_sort | applications of actuarial techniques to credit default swap pricing |
| topic | DRNTU::Business::Finance::Actuarial science |
| url | http://hdl.handle.net/10356/48124 |
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