Essays about: "Keywords: Credit Default Swaps"

Found 1 essay containing the words Keywords: Credit Default Swaps.

  1. 1. What Drives the Difference in Probability of Default from Reduced Form- and Structural Approaches

    University essay from Lunds universitet/Matematisk statistik

    Author : Madelene Larsson; Albin Ädel; [2014]
    Keywords : Keywords: Credit Default Swaps; CDS; probability of default; reduced form model; market price of risk; risk neutral measure; physical measure; elastic net.; Mathematics and Statistics;

    Abstract : This Master Thesis successfully explains the difference in probability of default implied by Credit Default Swaps, traded by the market, and the benchmark Moody’s EDFTM. The difference is explained by the market price of risk, related to the Girsanov kernel, allowing us to transform the risk neutral measure Q to the physical measure P. READ MORE