Modelling the Price of a Credit Default Swap
نویسندگان
چکیده
This project describes credit default swap (CDS) and shows how to calculate a fair value for such a contract. The stochastic evaluation of both the interest rate and the default intensity are first studied independent by using one factor a Vasicek model for a bond and a one factor model for the probability of no default. After validations the combined effect of stochastic interest rates and default intensities is examined to calculate a more accurate value with a two factor model for the CDS. A Java-powered version of this report can be consulted on-line under the address http://www.lifelong-learners.com/opt selecting Work: Projects. Modell av priset för en Credit Default Swap Sammanfattning Detta projekt beskriver credit default swaps (CDS) och p̊avisar hur man kalkylerar värdet p̊a ett s̊adana kontrakt. Den stokastiska beräkningen av b̊ade ränta och default-intensiteten genomförs först genom användandet av en faktor för Vasicek modellen för en obligation och en enfaktors modell för sannolikheten att ingen default sker. Efter validering undersöks den kombinerade effekten av stokastisk räntor och default-intensiteter, för att möjliggöra mer exakta beräkningar via en tv̊afaktor modell för CDS. En java-driven version av denna rapport kan besökas p̊a adressen http://www.lifelong-learners.com/opt välj vidare Work: Projects.
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