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Credit derivative valuation and parameter estimation for CIR and Vasicek-type models.

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dc.contributor.advisorArunakirinathar, Kanagaratnam.
dc.contributor.authorMaboulou, Alma Prell Bimbabou.
dc.date.accessioned2014-09-18T12:46:31Z
dc.date.available2014-09-18T12:46:31Z
dc.date.created2013
dc.date.issued2013
dc.descriptionThesis (M.Sc.)-University of KwaZulu-Natal, Durban, 2013.en
dc.description.abstractA credit default swap is a contract that ensures protection against losses occurring due to a default event of an certain entity. It is crucial to know how default should be modelled for valuation or estimating of credit derivatives. In this dissertation, we first review the structural approach for modelling credit risk. The model is an approach for assessing the credit risk of a firm by typifying the firms equity as a European call option on its assets, with the strike price (or exercise price) being the promised debt repayment at the maturity. The model can be used to determine the probability that the firm will default (default probability) and the Credit Spread. We second concentrate on the valuation of credit derivatives, in particular the Credit Default Swap (CDS) when the hazard rate (or even of default) is modelled as the Vasicek-type model. The other objective is, by using South African credit spread data on defaultable bonds to estimate parameters on CIR and Vasicek-type Hazard rate models such as stochastic differential equation models of term structure. The parameters are estimated numerically by the Moment Method.en
dc.identifier.urihttp://hdl.handle.net/10413/11232
dc.language.isoen_ZAen
dc.subjectDerivative securities--South Africa.en
dc.subjectCredit derivatives--South Africa.en
dc.subjectCollateralized debt obligations.en
dc.subjectBonds--South Africa.en
dc.subjectMoment problems (Mathematics)en
dc.subjectCredit--South Africa.en
dc.subjectTheses--Applied mathematics.en
dc.titleCredit derivative valuation and parameter estimation for CIR and Vasicek-type models.en
dc.typeThesisen

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Masters Degrees (Applied Mathematics)